NPORT-EX 2 b_032nport123122.htm QUARTERLY PORTFOLIO HOLDINGS
Putnam Mortgage Securities Fund
The fund's portfolio
12/31/22 (Unaudited)


U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (175.6%)(a)
        Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (22.0%)
Government National Mortgage Association Adjustable Rate Mortgages (US Treasury Yield Curve Rate + 1.50%), 2.625%, 7/20/26 $2,887 $2,806
Government National Mortgage Association Pass-Through Certificates
6.00%, 1/15/29 1 1
5.50%, 8/15/35 111 113
4.50%, TBA, 1/1/53 12,000,000 11,643,857
4.00%, TBA, 1/1/53 17,000,000 16,093,422
3.50%, TBA, 1/1/53 29,000,000 26,644,620
3.00%, TBA, 1/1/53 44,000,000 39,189,766
2.00%, TBA, 1/1/53 11,000,000 9,228,670
102,803,255
U.S. Government Agency Mortgage Obligations (153.6%)
Uniform Mortgage-Backed Securities
6.00%, TBA, 1/1/53 34,400,000 34,932,140
5.50%, TBA, 1/1/53 89,000,000 89,264,259
5.00%, TBA, 1/1/53 167,000,000 164,677,731
4.50%, TBA, 1/1/53 129,000,000 124,343,900
4.00%, TBA, 1/1/53 36,000,000 33,794,982
3.50%, TBA, 1/1/53 37,000,000 33,649,746
3.00%, TBA, 1/1/53 34,000,000 29,869,530
2.50%, TBA, 1/1/53 127,000,000 107,672,188
2.00%, TBA, 1/1/53 124,000,000 101,211,131
719,415,607
Total U.S. government and agency mortgage obligations (cost $826,569,750) $822,218,862








U.S. TREASURY OBLIGATIONS (0.9%)(a)
        Principal amount Value
U.S. Treasury Bonds 1.875%, 11/15/51(i) $189,000 $121,296
U.S. Treasury Notes
3.00%, 9/30/25(i) 448,000 436,706
2.875%, 8/15/28(i) 284,000 271,027
2.625%, 5/31/27(i) 257,000 242,844
2.50%, 8/15/23(i) 424,000 422,254
1.75%, 3/15/25(i) 310,000 294,612
1.625%, 5/15/31(i) 2,099,000 1,769,625
1.50%, 2/15/30(i) 468,000 401,493
1.125%, 10/31/26(i) 216,000 193,797
0.125%, 2/15/24(i) 236,000 224,327
Total U.S. treasury obligations (cost $4,377,981) $4,377,981








MORTGAGE-BACKED SECURITIES (83.2%)(a)
        Principal amount Value
Agency collateralized mortgage obligations (31.9%)
Federal Home Loan Mortgage Corporation
REMICs IFB Ser. 2976, Class LC, ((-3.667 x ICE LIBOR USD 1 Month) + 24.42%), 8.588%, 5/15/35 $570,843 $766,941
REMICs IFB Ser. 3408, Class EK, ((-4.024 x ICE LIBOR USD 1 Month) + 25.79%), 8.419%, 4/15/37 155,772 241,627
REMICs IFB Ser. 3072, Class SM, ((-3.667 x ICE LIBOR USD 1 Month) + 23.80%), 7.965%, 11/15/35 313,484 474,065
REMICs IFB Ser. 3065, Class DC, ((-3 x ICE LIBOR USD 1 Month) + 19.86%), 6.906%, 3/15/35 1,410,090 1,783,655
REMICs IFB Ser. 2990, Class LB, ((-2.556 x ICE LIBOR USD 1 Month) + 16.95%), 5.91%, 6/15/34 177,515 191,640
REMICs Ser. 5043, IO, 5.00%, 11/25/50 8,029,452 1,827,270
REMICs Ser. 4980, Class KI, IO, 4.50%, 6/25/50 8,106,915 1,679,786
REMICs Ser. 4122, Class TI, IO, 4.50%, 10/15/42 1,666,297 329,134
REMICs Ser. 4024, Class PI, IO, 4.50%, 12/15/41 753,583 87,071
REMICs Ser. 4018, Class DI, IO, 4.50%, 7/15/41 644,019 44,252
REMICs Ser. 5119, Class IC, IO, 4.00%, 6/25/51 9,181,342 1,761,349
REMICs Ser. 5121, Class KI, IO, 4.00%, 6/25/51 7,960,501 1,656,198
REMICs Ser. 4953, Class AI, IO, 4.00%, 2/25/50 5,132,089 979,664
REMICs Ser. 4425, IO, 4.00%, 1/15/45 2,178,706 342,035
REMICs Ser. 4425, Class EI, IO, 4.00%, 1/15/45 3,081,304 483,734
REMICs Ser. 4452, Class QI, IO, 4.00%, 11/15/44 2,955,403 615,014
REMICs Ser. 4213, Class GI, IO, 4.00%, 11/15/41 1,165,774 38,113
REMICs Ser. 4019, Class JI, IO, 4.00%, 5/15/41 1,432,054 103,313
Structured Pass-Through Certificates FRB Ser. 57, Class 2A1, 3.589%, 7/25/43(WAC) 11,302 10,522
REMICs Ser. 5077, Class NI, IO, 3.50%, 2/25/51 13,171,157 2,335,145
REMICs Ser. 5065, Class DI, IO, 3.50%, 1/25/51 12,591,231 2,272,232
REMICs Ser. 5050, Class IM, IO, 3.50%, 10/25/50 11,779,067 2,152,059
REMICs Ser. 5080, Class IQ, IO, 3.50%, 4/25/50 24,342,719 4,788,339
REMICs Ser. 4165, Class AI, IO, 3.50%, 2/15/43 1,478,996 225,129
REMICs Ser. 4136, Class IQ, IO, 3.50%, 11/15/42 3,422,676 476,813
Strips Ser. 304, Class C37, IO, 3.50%, 12/15/27 399,936 15,615
Structured Pass-Through Certificates FRB Ser. 59, Class 2A1, 3.496%, 10/25/43(WAC) 6,084 4,665
REMICs Ser. 5071, Class IV, IO, 3.00%, 12/25/50 19,883,338 3,372,281
REMICs Ser. 4150, Class DI, IO, 3.00%, 1/15/43 3,790,979 473,872
REMICs Ser. 4141, Class PI, IO, 3.00%, 12/15/42 3,337,686 408,228
REMICs Ser. 4158, Class TI, IO, 3.00%, 12/15/42 4,571,486 342,496
REMICs Ser. 4165, Class TI, IO, 3.00%, 12/15/42 5,485,459 435,469
REMICs Ser. 4171, Class NI, IO, 3.00%, 6/15/42 2,920,303 296,112
REMICs Ser. 4183, Class MI, IO, 3.00%, 2/15/42 1,983,905 137,088
REMICs Ser. 4201, Class JI, IO, 3.00%, 12/15/41 1,819,019 82,433
REMICs IFB Ser. 4436, Class SC, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.15%), 1.832%, 2/15/45 3,251,488 421,533
REMICs IFB Ser. 4326, Class GS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 1.732%, 4/15/44 9,768,999 907,560
REMICs IFB Ser. 5003, Class DS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.711%, 8/25/50 8,079,054 932,272
REMICs IFB Ser. 4915, Class SD, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 1.661%, 9/25/49 10,234,503 1,019,738
REMICs IFB Ser. 4949, Class WS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.00%), 1.611%, 2/25/50 4,745,058 469,735
REMICs IFB Ser. 4933, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.00%), 1.611%, 12/25/49 6,745,270 770,269
Structured Pass-Through Certificates FRB Ser. 8, Class A9, IO, 0.462%, 11/15/28(WAC) 313,404 1,567
Structured Pass-Through Certificates FRB Ser. 59, Class 1AX, IO, 0.283%, 10/25/43(WAC) 2,060,225 14,414
Structured Pass-Through Certificates Ser. 48, Class A2, IO, 0.212%, 7/25/33(WAC) 3,258,099 24,419
REMICs Ser. 3369, Class BO, PO, zero %, 9/15/37 2,044 1,618
REMICs Ser. 3391, PO, zero %, 4/15/37 28,480 23,282
REMICs Ser. 3175, Class MO, PO, zero %, 6/15/36 14,306 11,825
REMICs Ser. 3210, PO, zero %, 5/15/36 1,241 1,200
REMICs FRB Ser. 3117, Class AF, (ICE LIBOR USD 1 Month + 0.00%), zero %, 2/15/36 13,458 11,861
Federal National Mortgage Association
REMICs IFB Ser. 06-62, Class PS, ((-6 x ICE LIBOR USD 1 Month) + 39.90%), 13.568%, 7/25/36 168,376 309,662
REMICs IFB Ser. 06-8, Class HP, ((-3.667 x ICE LIBOR USD 1 Month) + 24.57%), 8.475%, 3/25/36 213,825 228,735
REMICs IFB Ser. 07-53, Class SP, ((-3.667 x ICE LIBOR USD 1 Month) + 24.20%), 8.108%, 6/25/37 256,917 403,769
REMICs IFB Ser. 08-24, Class SP, ((-3.667 x ICE LIBOR USD 1 Month) + 23.28%), 7.191%, 2/25/38 615,014 601,947
REMICs IFB Ser. 05-106, Class JC, ((-3.101 x ICE LIBOR USD 1 Month) + 20.12%), 6.516%, 12/25/35 422,315 566,930
REMICs Ser. 15-58, Class KI, IO, 6.00%, 3/25/37 5,135,103 956,218
REMICs IFB Ser. 05-74, Class NK, ((-5 x ICE LIBOR USD 1 Month) + 27.50%), 5.556%, 5/25/35 439,983 449,324
REMICs Ser. 15-86, Class MI, IO, 5.50%, 11/25/45 4,452,667 756,597
REMICs Ser. 10-109, Class IM, IO, 5.50%, 9/25/40 8,303,662 1,093,253
REMICs Ser. 18-51, Class BI, IO, 5.50%, 7/25/38 5,171,126 507,726
REMICs Ser. 17-19, Class IH, IO, 5.00%, 3/25/47 4,956,131 739,950
REMICs Ser. 12-151, Class IM, IO, 5.00%, 4/25/42 3,041,210 472,529
REMICs Ser. 20-31, IO, 4.50%, 5/25/50 11,388,794 2,106,267
REMICs Ser. 17-32, Class IP, IO, 4.50%, 5/25/47 5,256,666 1,023,126
REMICs Trust FRB Ser. 04-W7, Class A2, 4.472%, 3/25/34(WAC) 2,533 2,611
REMICs FRB Ser. 03-W11, Class A1, 4.447%, 6/25/33(WAC) 248 248
REMICs IFB Ser. 11-4, Class CS, ((-2 x ICE LIBOR USD 1 Month) + 12.90%), 4.123%, 5/25/40 464,360 478,130
REMICs FRB Ser. 03-W14, Class 2A, 4.008%, 1/25/43(WAC) 7,626 7,086
REMICs Ser. 20-60, Class NI, IO, 4.00%, 9/25/50 7,264,783 1,337,325
REMICs Ser. 15-83, IO, 4.00%, 10/25/43 1,221,768 182,626
REMICs Ser. 12-62, Class MI, IO, 4.00%, 3/25/41 611,670 26,140
REMICs Ser. 12-104, Class HI, IO, 4.00%, 9/25/27 1,787,862 86,539
Trust FRB Ser. 03-W3, Class 1A4, 3.852%, 8/25/42(WAC) 16,353 15,241
REMICs Ser. 21-25, Class IJ, IO, 3.50%, 5/25/51 23,902,060 4,085,818
REMICs Ser. 20-20, Class IK, IO, 3.50%, 3/25/50 10,179,732 1,212,155
REMICs Ser. 20-62, Class MI, IO, 3.50%, 5/25/49 32,843,829 5,870,552
REMICs Ser. 16-70, Class QI, IO, 3.50%, 10/25/46 4,037,601 572,693
REMICs Ser. 15-10, Class AI, IO, 3.50%, 8/25/43 982,656 30,825
REMICs Ser. 13-22, Class PI, IO, 3.50%, 10/25/42 2,146,433 315,777
REMICs Ser. 12-114, Class NI, IO, 3.50%, 10/25/41 2,553,947 164,775
Trust FRB Ser. 04-W2, Class 4A, 3.491%, 2/25/44(WAC) 4,045 3,897
REMICs Ser. 20-96, IO, 3.00%, 1/25/51 9,039,889 1,355,983
REMICs Ser. 13-55, Class IK, IO, 3.00%, 4/25/43 2,060,640 266,000
REMICs Ser. 13-6, Class JI, IO, 3.00%, 2/25/43 4,780,470 597,559
REMICs Ser. 12-151, Class PI, IO, 3.00%, 1/25/43 2,546,505 331,980
REMICs Ser. 12-145, Class TI, IO, 3.00%, 11/25/42 820,511 30,315
REMICs Ser. 13-55, Class PI, IO, 3.00%, 5/25/42 1,497,789 61,750
REMICs Ser. 13-23, Class PI, IO, 3.00%, 10/25/41 164,138 352
REMICs Ser. 13-30, Class IP, IO, 3.00%, 10/25/41 262,307 836
REMICs Ser. 13-23, Class LI, IO, 3.00%, 6/25/41 459,160 3,305
REMICs Ser. 21-3, Class NI, IO, 2.50%, 2/25/51 15,161,263 2,168,192
REMICs IFB Ser. 11-123, Class KS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.60%), 2.211%, 10/25/41 312,802 27,635
REMICs IFB Ser. 18-47, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.25%), 1.861%, 7/25/48 4,498,305 429,138
REMICs IFB Ser. 18-20, Class SB, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.25%), 1.861%, 3/25/48 5,258,379 487,978
REMICs IFB Ser. 17-104, Class SL, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.15%), 1.761%, 1/25/48 6,433,280 671,632
REMICs IFB Ser. 20-41, Class SE, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.711%, 6/25/50 5,909,285 513,604
REMICs IFB Ser. 16-83, Class BS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.711%, 11/25/46 14,807,212 1,181,263
REMICs IFB Ser. 16-85, Class SL, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.711%, 11/25/46 20,017,238 1,645,023
REMICs IFB Ser. 16-50, Class SM, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.711%, 8/25/46 9,621,790 691,161
REMICs IFB Ser. 19-51, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 1.661%, 9/25/49 8,411,858 802,810
REMICs IFB Ser. 19-45, Class SD, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 1.661%, 8/25/49 5,145,626 462,574
REMICs IFB Ser. 16-8, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 1.661%, 3/25/46 8,828,991 880,799
REMICs IFB Ser. 19-71, Class CS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.00%), 1.611%, 11/25/49 2,775,778 428,483
REMICs IFB Ser. 19-83, Class QS, IO, ((-1 x ICE LIBOR USD 1 Month) + 5.95%), 1.561%, 1/25/50 15,856,173 1,950,709
REMICs FRB Ser. 01-50, Class B1, IO, 0.40%, 10/25/41(WAC) 1,714,742 8,569
REMICs Ser. 01-79, Class BI, IO, 0.255%, 3/25/45(WAC) 841,344 5,214
REMICs Trust Ser. 98-W5, Class X, IO, 0.051%, 7/25/28(WAC) 671,048 10,062
REMICs Ser. 03-34, PO, zero %, 4/25/43 38,355 34,847
REMICs Ser. 08-53, Class DO, PO, zero %, 7/25/38 95,332 77,287
REMICs Ser. 07-14, Class KO, PO, zero %, 3/25/37 3,333 2,746
REMICs Ser. 06-125, Class OX, PO, zero %, 1/25/37 646 560
REMICs Ser. 06-84, Class OT, PO, zero %, 9/25/36 989 783
REMICs Ser. 06-46, Class OC, PO, zero %, 6/25/36 1,449 1,274
REMICs Ser. 08-36, Class OV, PO, zero %, 1/25/36 9,367 7,928
REMICs Trust Ser. 98-W2, Class X, IO, zero %, 6/25/28(WAC) 2,093,324 31,392
Government National Mortgage Association
Ser. 16-75, Class LI, IO, 6.00%, 1/20/40 3,435,773 595,611
Ser. 14-137, Class ID, IO, 5.50%, 9/16/44 3,138,351 535,155
Ser. 18-127, Class ID, IO, 5.00%, 7/20/45 59,896 9,145
Ser. 15-89, Class LI, IO, 5.00%, 12/20/44 4,001,211 782,877
Ser. 14-76, IO, 5.00%, 5/20/44 2,271,745 455,352
Ser. 13-51, Class QI, IO, 5.00%, 2/20/43 2,927,196 403,009
Ser. 13-3, Class IT, IO, 5.00%, 1/20/43 1,287,593 274,034
Ser. 13-6, Class OI, IO, 5.00%, 1/20/43 6,528,253 1,256,689
Ser. 10-35, Class UI, IO, 5.00%, 3/20/40 1,098,732 227,927
Ser. 10-9, Class UI, IO, 5.00%, 1/20/40 5,336,716 1,117,402
Ser. 09-121, Class UI, IO, 5.00%, 12/20/39 3,177,724 661,253
Ser. 18-1, IO, 4.50%, 1/20/48 4,447,112 855,626
Ser. 13-34, Class HI, IO, 4.50%, 3/20/43 3,806,491 696,861
Ser. 13-39, Class IJ, IO, 4.50%, 3/20/43 4,980,647 937,064
Ser. 12-129, IO, 4.50%, 11/16/42 2,704,160 490,562
Ser. 10-35, Class AI, IO, 4.50%, 3/20/40 3,473,119 603,364
Ser. 10-35, Class DI, IO, 4.50%, 3/20/40 5,393,334 975,007
Ser. 10-35, Class QI, IO, 4.50%, 3/20/40 1,355,972 257,496
Ser. 09-121, Class CI, IO, 4.50%, 12/16/39 3,596,501 671,968
Ser. 15-94, IO, 4.00%, 7/20/45 9,402,754 1,771,732
Ser. 15-53, Class MI, IO, 4.00%, 4/16/45 3,523,999 638,139
Ser. 14-2, Class IL, IO, 4.00%, 1/16/44 675,717 111,090
Ser. 14-100, Class NI, IO, 4.00%, 6/20/43 2,564,140 171,009
Ser. 13-67, Class IP, IO, 4.00%, 4/16/43 4,776,276 720,931
Ser. 13-165, Class IL, IO, 4.00%, 3/20/43 1,166,103 182,388
Ser. 12-56, Class IB, IO, 4.00%, 4/20/42 3,169,861 543,431
Ser. 12-38, Class MI, IO, 4.00%, 3/20/42 6,096,222 1,067,083
Ser. 14-104, IO, 4.00%, 3/20/42 3,982,244 480,078
Ser. 14-182, Class BI, IO, 4.00%, 1/20/39 5,543,437 582,441
Ser. 17-H25, IO, 3.90%, 11/20/67(WAC) 9,387,617 401,397
Ser. 20-175, Class JI, IO, 3.50%, 11/20/50 12,529,560 2,142,143
Ser. 13-79, Class PI, IO, 3.50%, 4/20/43 2,351,378 261,403
Ser. 15-168, Class IG, IO, 3.50%, 3/20/43 2,026,892 261,158
Ser. 13-37, Class JI, IO, 3.50%, 1/20/43 1,076,233 123,681
Ser. 12-136, IO, 3.50%, 11/20/42 5,902,893 831,220
Ser. 18-127, Class IA, IO, 3.50%, 4/20/42 3,912,293 311,966
Ser. 14-102, Class IG, IO, 3.50%, 3/16/41 839,392 41,636
Ser. 15-52, Class KI, IO, 3.50%, 11/20/40 1,624,141 118,871
Ser. 15-24, Class AI, IO, 3.50%, 12/20/37 581,486 4,861
Ser. 15-24, Class IC, IO, 3.50%, 11/20/37 322,561 4,723
Ser. 17-H25, Class CI, IO, 3.023%, 12/20/67(WAC) 13,739,722 790,678
Ser. 21-188, Class IU, IO, 3.00%, 10/20/51 5,360,229 1,083,467
Ser. 21-188, Class IW, IO, 3.00%, 10/20/51 8,893,848 1,448,654
Ser. 21-76, Class NI, IO, 3.00%, 8/20/50 12,347,190 1,739,719
Ser. 14-174, Class AI, IO, 3.00%, 11/16/29 1,894,738 107,064
Ser. 18-H02, Class IM, IO, 2.853%, 2/20/68(WAC) 9,036,718 513,512
Ser. 16-H13, Class IK, IO, 2.652%, 6/20/66(WAC) 12,538,789 1,081,075
Ser. 18-H01, Class XI, IO, 2.624%, 1/20/68(WAC) 12,192,748 799,475
Ser. 21-8, Class IP, IO, 2.50%, 1/20/51 29,640,256 4,066,160
Ser. 20-162, Class UI, IO, 2.50%, 10/20/50 8,749,424 1,132,433
Ser. 20-138, Class IB, IO, 2.50%, 9/20/50 19,437,064 2,485,412
Ser. 17-H04, Class BI, IO, 2.474%, 2/20/67(WAC) 10,784,886 456,615
Ser. 16-H27, Class GI, IO, 2.447%, 12/20/66(WAC) 17,215,970 882,009
Ser. 18-H04, Class JI, IO, 2.378%, 3/20/68(WAC) 12,915,057 479,149
Ser. 16-H04, Class HI, IO, 2.371%, 7/20/65(WAC) 9,456,036 304,484
IFB Ser. 13-182, Class SP, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.70%), 2.347%, 12/20/43 3,040,058 335,835
Ser. 16-H07, Class PI, IO, 2.275%, 3/20/66(WAC) 21,065,172 1,460,797
IFB Ser. 11-156, Class SK, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.60%), 2.247%, 4/20/38 4,430,267 494,144
Ser. 17-H06, Class MI, IO, 2.189%, 2/20/67(WAC) 16,701,681 628,818
Ser. 16-H24, IO, 2.139%, 9/20/66(WAC) 12,819,356 962,790
Ser. 17-H08, Class EI, IO, 2.134%, 2/20/67(WAC) 12,565,713 541,543
Ser. 17-H08, Class NI, IO, 2.097%, 3/20/67(WAC) 10,168,262 420,212
Ser. 15-H24, Class HI, IO, 2.088%, 9/20/65(WAC) 3,335,891 56,640
Ser. 16-H06, Class HI, IO, 2.06%, 2/20/66(WAC) 10,280,708 435,193
IFB Ser. 21-77, Class SM, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.30%), 1.947%, 5/20/51 11,555,469 1,379,435
IFB Ser. 20-133, Class CS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.30%), 1.947%, 9/20/50 9,178,028 1,172,071
IFB Ser. 20-112, Class MS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.30%), 1.947%, 8/20/50 5,659,098 718,026
Ser. 17-H08, Class GI, IO, 1.921%, 2/20/67(WAC) 8,549,273 693,549
Ser. 17-H14, Class JI, IO, 1.885%, 6/20/67(WAC) 5,591,358 439,828
Ser. 15-H23, Class TI, IO, 1.872%, 9/20/65(WAC) 13,420,177 675,035
IFB Ser. 18-89, Class LS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.20%), 1.847%, 6/20/48 4,044,590 364,729
IFB Ser. 17-156, Class SL, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.20%), 1.847%, 10/20/47 4,876,101 445,757
IFB Ser. 13-87, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.20%), 1.847%, 6/20/43 7,515,655 718,622
Ser. 15-H23, Class DI, IO, 1.827%, 9/20/65(WAC) 4,295,512 235,394
IFB Ser. 19-35, Class SE, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.15%), 1.824%, 1/16/44 5,643,990 344,690
IFB Ser. 19-158, Class AS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.15%), 1.824%, 9/16/43 6,083,653 594,813
Ser. 17-H23, Class BI, IO, 1.82%, 11/20/67(WAC) 8,368,286 439,335
IFB Ser. 19-56, Class SK, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.15%), 1.797%, 5/20/49 4,934,690 431,406
IFB Ser. 10-20, Class SC, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.15%), 1.797%, 2/20/40 480,614 44,327
Ser. 17-H10, Class MI, IO, 1.787%, 4/20/67(WAC) 11,559,553 320,200
Ser. 17-H14, Class LI, IO, 1.769%, 6/20/67(WAC) 6,820,358 348,889
Ser. 17-H09, IO, 1.762%, 4/20/67(WAC) 10,031,130 298,687
IFB Ser. 19-100, Class JS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.747%, 8/20/49 4,090,868 321,289
IFB Ser. 16-80, Class SD, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.747%, 6/20/46 7,171,809 746,410
IFB Ser. 20-15, Class CS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 1.697%, 2/20/50 904,409 63,158
IFB Ser. 19-125, Class SG, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 1.697%, 10/20/49 8,412,393 1,150,791
IFB Ser. 19-110, Class SQ, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 1.697%, 9/20/49 6,493,410 653,044
IFB Ser. 19-99, Class KS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 1.697%, 8/20/49 432,398 37,338
IFB Ser. 19-78, Class SJ, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 1.697%, 6/20/49 255,210 18,620
IFB Ser. 19-121, Class SD, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.00%), 1.647%, 10/20/49 8,415,345 1,141,870
IFB Ser. 20-47, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.00%), 1.647%, 5/20/44 12,013,085 1,036,129
Ser. 14-H25, Class BI, IO, 1.611%, 12/20/64(WAC) 12,688,612 418,813
IFB Ser. 14-119, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 5.60%), 1.247%, 8/20/44 3,403,548 268,329
FRB Ser. 11-H07, Class FI, IO, 1.186%, 2/20/61(WAC) 11,256,268 283,658
FRB Ser. 16-H19, Class AI, IO, 1.167%, 9/20/66(WAC) 23,504,034 940,067
Ser. 16-H23, Class NI, IO, 1.057%, 10/20/66(WAC) 23,032,324 760,067
Ser. 16-H24, Class JI, IO, 0.988%, 11/20/66(WAC) 3,838,489 187,170
Ser. 15-H20, Class CI, IO, 0.799%, 8/20/65(WAC) 19,590,658 1,032,428
Ser. 15-H14, Class AI, IO, 0.751%, 6/20/65(WAC) 22,886,743 864,089
FRB Ser. 15-H16, Class XI, IO, 0.751%, 7/20/65(WAC) 8,667,758 381,381
Ser. 15-H25, Class BI, IO, 0.711%, 10/20/65(WAC) 10,395,093 413,725
Ser. 15-H22, Class AI, IO, 0.683%, 9/20/65(WAC) 20,102,149 870,423
Ser. 16-H17, Class DI, IO, 0.566%, 7/20/66(WAC) 14,369,154 471,222
Ser. 14-H21, Class AI, IO, 0.436%, 10/20/64(WAC) 15,406,807 494,019
Ser. 16-H06, Class DI, IO, 0.362%, 7/20/65(WAC) 14,056,264 290,388
Ser. 15-H13, Class AI, IO, 0.351%, 6/20/65(WAC) 13,556,007 516,937
Ser. 17-H20, Class AI, IO, 0.233%, 10/20/67(WAC) 20,427,602 1,152,700
Ser. 17-H03, Class KI, IO, 0.12%, 1/20/67(WAC) 16,308,898 1,278,618
Ser. 16-H18, Class QI, IO, 0.078%, 6/20/66(WAC) 13,738,074 639,727
Ser. 16-H24, Class KI, IO, 0.076%, 11/20/66(WAC) 7,003,225 326,523
Ser. 15-H10, Class HI, IO, 0.046%, 4/20/65(WAC) 15,973,965 528,738
Ser. 16-H03, Class AI, IO, 0.021%, 1/20/66(WAC) 10,988,211 358,950
Ser. 15-H04, Class AI, IO, 0.018%, 12/20/64(WAC) 13,422,163 383,282
Ser. 16-H04, Class KI, IO, 0.011%, 2/20/66(WAC) 12,420,858 279,861
Ser. 16-H10, Class AI, IO, zero %, 4/20/66(WAC) 19,158,647 366,850
GSMPS Mortgage Loan Trust 144A FRB Ser. 99-2, IO, 0.431%, 9/19/27(WAC) 311,571 779
149,248,713
Commercial mortgage-backed securities (32.3%)
BANK 144A Ser. 18-BN11, Class D, 3.00%, 3/15/61 2,981,000 2,000,559
Barclays Commercial Mortgage Trust 144A Ser. 19-C4, Class E, 3.25%, 8/15/52 1,810,000 1,220,850
Bear Stearns Commercial Mortgage Securities Trust FRB Ser. 07-T26, Class AJ, 5.566%, 1/12/45(WAC) 13,229 12,766
Benchmark Mortgage Trust 144A
FRB Ser. 18-B3, Class D, 3.036%, 4/10/51(WAC) 3,362,000 2,248,748
Ser. 19-B10, Class D, 3.00%, 3/15/62 801,000 522,935
Ser. 19-B11, Class D, 3.00%, 5/15/52 2,608,000 1,760,593
Ser. 18-B1, Class E, 3.00%, 1/15/51(WAC) 1,840,000 899,429
Ser. 19-B13, Class D, 2.50%, 8/15/57 1,788,000 1,251,600
BWAY Mortgage Trust 144A FRB Ser. 22-26BW, Class F, 4.866%, 2/10/44(WAC) 2,305,000 1,519,645
CD Commercial Mortgage Trust 144A
Ser. 17-CD3, Class D, 3.25%, 2/10/50 2,112,000 1,489,220
Ser. 19-CD8, Class D, 3.00%, 8/15/57 1,450,000 938,585
Citigroup Commercial Mortgage Trust
FRB Ser. 13-GC15, Class C, 5.162%, 9/10/46(WAC) 1,567,000 1,532,636
FRB Ser. 15-GC27, Class C, 4.418%, 2/10/48(WAC) 1,731,000 1,590,873
Citigroup Commercial Mortgage Trust 144A
FRB Ser. 12-GC8, Class C, 4.909%, 9/10/45(WAC) 1,426,727 1,426,727
FRB Ser. 15-GC27, Class D, 4.418%, 2/10/48(WAC) 1,018,000 891,168
Ser. 15-P1, Class D, 3.225%, 9/15/48 3,226,000 2,640,206
Ser. 15-GC27, Class E, 3.00%, 2/10/48 1,743,000 1,332,509
COMM Mortgage Trust
FRB Ser. 14-CR16, Class C, 4.917%, 4/10/47(WAC) 2,441,904 2,210,086
FRB Ser. 13-CR13, Class C, 4.876%, 11/10/46(WAC) 1,355,000 1,279,791
FRB Ser. 14-UBS3, Class C, 4.736%, 6/10/47(WAC) 956,000 899,449
FRB Ser. 14-UBS4, Class C, 4.649%, 8/10/47(WAC) 1,158,060 1,068,159
FRB Ser. 15-CR26, Class D, 3.467%, 10/10/48(WAC) 1,696,375 1,370,608
COMM Mortgage Trust 144A
FRB Ser. 13-LC13, Class D, 5.254%, 8/10/46(WAC) 2,546,000 2,387,079
FRB Ser. 13-CR13, Class D, 4.876%, 11/10/46(WAC) 1,906,000 1,606,038
FRB Ser. 14-CR17, Class D, 4.845%, 5/10/47(WAC) 3,623,000 3,149,778
FRB Ser. 14-CR19, Class D, 4.697%, 8/10/47(WAC) 2,082,000 1,863,718
FRB Ser. 13-CR7, Class D, 4.366%, 3/10/46(WAC) 1,442,000 1,294,195
FRB Ser. 15-LC19, Class E, 4.215%, 2/10/48(WAC) 1,786,000 1,481,092
Ser. 12-CR4, Class B, 3.703%, 10/15/45 2,419,000 1,983,580
Ser. 13-LC6, Class E, 3.50%, 1/10/46 1,077,000 1,067,436
Ser. 17-COR2, Class D, 3.00%, 9/10/50 2,254,000 1,723,544
FRB Ser. 18-COR3, Class D, 2.81%, 5/10/51(WAC) 869,000 570,497
CSAIL Commercial Mortgage Trust
FRB Ser. 15-C3, Class C, 4.359%, 8/15/48(WAC) 922,000 773,123
FRB Ser. 15-C2, Class C, 4.177%, 6/15/57(WAC) 1,010,000 855,100
FRB Ser. 15-C2, Class D, 4.177%, 6/15/57(WAC) 3,030,000 2,289,274
CSAIL Commercial Mortgage Trust 144A
FRB Ser. 18-C14, Class D, 4.916%, 11/15/51(WAC) 1,300,000 964,063
Ser. 19-C17, Class D, 2.50%, 9/15/52 1,626,000 966,916
DBUBS Mortgage Trust 144A FRB Ser. 11-LC3A, Class D, 5.361%, 8/10/44(WAC) 3,202,539 2,926,160
Federal Home Loan Mortgage Corporation 144A Multifamily Structured Credit Risk FRB Ser. 21-MN3, Class M2, 7.928%, 11/25/51 2,289,000 2,008,995
GS Mortgage Securities Corp., II 144A FRB Ser. 13-GC10, Class D, 4.339%, 2/10/46(WAC) 2,209,000 2,197,825
GS Mortgage Securities Trust
FRB Ser. 14-GC18, Class C, 5.055%, 1/10/47(WAC) 4,153,000 2,824,040
FRB Ser. 14-GC22, Class C, 4.686%, 6/10/47(WAC) 1,431,000 1,352,428
GS Mortgage Securities Trust 144A
FRB Ser. 10-C1, Class D, 6.355%, 8/10/43(WAC) 842,000 633,204
FRB Ser. 14-GC24, Class D, 4.532%, 9/10/47(WAC) 4,747,000 3,094,704
Ser. 17-GS5, Class D, 3.509%, 3/10/50(WAC) 1,021,000 718,905
Ser. 16-GS2, Class D, 2.753%, 5/10/49 1,149,000 873,789
JPMBB Commercial Mortgage Securities Trust FRB Ser. 14-C22, Class C, 4.547%, 9/15/47(WAC) 2,294,000 2,066,048
JPMBB Commercial Mortgage Securities Trust 144A
FRB Ser. C14, Class D, 4.548%, 8/15/46(WAC) 4,088,000 2,224,235
FRB Ser. 13-C12, Class E, 4.113%, 7/15/45(WAC) 1,235,000 1,114,709
JPMCC Commercial Mortgage Securities Trust 144A FRB Ser. 17-JP7, Class D, 4.384%, 9/15/50(WAC) 1,453,000 1,168,282
JPMDB Commercial Mortgage Securities Trust Ser. 17-C5, Class C, 4.512%, 3/15/50(WAC) 1,858,000 1,433,101
JPMDB Commercial Mortgage Securities Trust 144A FRB Ser. 16-C2, Class D, 3.335%, 6/15/49(WAC) 2,330,000 1,460,761
JPMorgan Chase Commercial Mortgage Securities Trust
Ser. 06-LDP9, Class AMS, 5.337%, 5/15/47 1,890,522 1,762,111
FRB Ser. 13-LC11, Class D, 4.231%, 4/15/46(WAC) 2,891,000 2,084,578
FRB Ser. 13-C10, Class C, 4.181%, 12/15/47(WAC) 1,929,000 1,850,557
Ser. 13-LC11, Class B, 3.499%, 4/15/46 725,000 615,380
JPMorgan Chase Commercial Mortgage Securities Trust 144A
FRB Ser. 11-C3, Class D, 5.525%, 2/15/46(WAC) 2,164,000 1,586,758
FRB Ser. 11-C3, Class E, 5.525%, 2/15/46(WAC) 1,629,000 705,768
FRB Ser. 13-C16, Class D, 5.008%, 12/15/46(WAC) 1,295,000 1,228,536
Morgan Stanley Bank of America Merrill Lynch Trust
FRB Ser. 15-C25, Class C, 4.526%, 10/15/48(WAC) 1,824,000 1,647,514
FRB Ser. 14-C16, Class B, 4.315%, 6/15/47(WAC) 1,695,000 1,623,946
FRB Ser. 13-C9, Class C, 4.014%, 5/15/46(WAC) 946,000 860,832
Morgan Stanley Bank of America Merrill Lynch Trust 144A
FRB Ser. 13-C12, Class D, 4.756%, 10/15/46(WAC) 479,000 431,519
FRB Ser. 13-C12, Class E, 4.756%, 10/15/46(WAC) 2,040,618 1,524,553
FRB Ser. 12-C6, Class G, 4.50%, 11/15/45(WAC) 1,288,000 824,320
FRB Ser. 15-C24, Class E, 4.329%, 5/15/48(WAC) 1,780,000 1,410,686
FRB Ser. 15-C23, Class D, 4.142%, 7/15/50(WAC) 3,439,000 2,906,174
FRB Ser. 13-C9, Class D, 4.102%, 5/15/46(WAC) 1,234,000 1,084,045
FRB Ser. 13-C10, Class F, 4.07%, 7/15/46(WAC) 2,316,000 486,996
Ser. 14-C19, Class D, 3.25%, 12/15/47 2,815,000 2,431,296
Morgan Stanley Capital I Trust 144A
FRB Ser. 12-C4, Class E, 5.164%, 3/15/45(WAC) 2,436,000 1,778,280
FRB Ser. 11-C3, Class E, 5.083%, 7/15/49(WAC) 7,724,130 6,584,070
Multifamily Connecticut Avenue Securities Trust 144A FRB Ser. 19-01, Class M10, 7.639%, 10/25/49 5,890,866 5,530,845
PFP, Ltd. 144A FRB Ser. 21-8, Class A, 5.326%, 8/9/37 (Cayman Islands) 1,363,621 1,309,366
Ready Capital Mortgage Financing, LLC 144A FRB Ser. 22-FL9, Class A, 6.79%, 6/25/37 1,283,188 1,274,727
UBS Commercial Mortgage Trust FRB Ser. 17-C3, Class C, 4.391%, 8/15/50(WAC) 3,138,000 2,518,556
UBS Commercial Mortgage Trust 144A
FRB Ser. 12-C1, Class D, 6.446%, 5/10/45(WAC) 646,014 571,856
FRB Ser. 12-C1, Class E, 5.00%, 5/10/45(WAC) 2,266,000 883,287
UBS-Citigroup Commercial Mortgage Trust 144A FRB Ser. 11-C1, Class D, 6.461%, 1/10/45(WAC) 2,552,759 2,292,883
Wells Fargo Commercial Mortgage Trust
FRB Ser. 18-C46, Class C, 4.985%, 8/15/51(WAC) 823,000 680,842
FRB Ser. 16-NXS5, Class D, 4.982%, 1/15/59(WAC) 2,473,000 2,055,566
FRB Ser. 15-C31, Class C, 4.596%, 11/15/48(WAC) 1,373,000 1,213,704
FRB Ser. 15-SG1, Class B, 4.453%, 9/15/48(WAC) 1,653,000 1,446,734
Ser. 19-C50, Class C, 4.345%, 5/15/52 935,000 743,115
FRB Ser. 15-C29, Class D, 4.218%, 6/15/48(WAC) 1,138,000 965,363
FRB Ser. 20-C57, Class C, 4.023%, 8/15/53(WAC) 788,000 642,205
Ser. 15-C31, Class D, 3.852%, 11/15/48 1,248,000 1,004,922
Wells Fargo Commercial Mortgage Trust 144A
FRB Ser. 15-C31, Class E, 4.596%, 11/15/48(WAC) 1,550,000 1,086,296
FRB Ser. 15-C30, Class D, 4.498%, 9/15/58(WAC) 1,050,500 880,730
Ser. 17-RB1, Class D, 3.401%, 3/15/50 1,983,000 1,442,751
Ser. 16-C33, Class D, 3.123%, 3/15/59 2,673,000 2,102,039
Ser. 20-C55, Class D, 2.50%, 2/15/53 1,091,000 682,755
Ser. 19-C54, Class D, 2.50%, 12/15/52 967,000 592,288
WF-RBS Commercial Mortgage Trust Ser. 14-C21, Class C, 4.234%, 8/15/47(WAC) 2,558,000 2,207,349
WF-RBS Commercial Mortgage Trust 144A
Ser. 11-C4, Class E, 4.844%, 6/15/44(WAC) 1,659,568 1,270,718
FRB Ser. 12-C9, Class D, 4.774%, 11/15/45(WAC) 3,000,774 2,835,326
FRB Ser. 12-C9, Class E, 4.774%, 11/15/45(WAC) 1,461,000 1,458,046
FRB Ser. 12-C7, Class D, 4.651%, 6/15/45(WAC) 1,847,000 1,033,483
151,333,432
Residential mortgage-backed securities (non-agency) (19.0%)
American Home Mortgage Investment Trust FRB Ser. 07-1, Class GA1C, (ICE LIBOR USD 1 Month + 0.19%), 4.579%, 5/25/47 5,364,870 2,924,268
Arroyo Mortgage Trust 144A Ser. 19-3, Class M1, 4.204%, 10/25/48(WAC) 750,000 587,718
Bayview Financial Mortgage Pass-Through Trust Ser. 06-C, Class 1A3, 6.528%, 11/28/36 4,733,844 4,423,817
Bear Stearns Alt-A Trust
FRB Ser. 05-10, Class 11A1, (ICE LIBOR USD 1 Month + 0.50%), 4.889%, 1/25/36 240,460 307,471
FRB Ser. 05-8, Class 21A1, 3.354%, 10/25/35(WAC) 405,055 334,281
Bellemeade Re, Ltd. 144A FRB Ser. 17-1, Class M2, (ICE LIBOR USD 1 Month + 3.35%), 7.739%, 10/25/27 (Bermuda) 522,708 522,013
Carrington Mortgage Loan Trust FRB Ser. 06-NC2, Class A4, (ICE LIBOR USD 1 Month + 0.24%), 4.869%, 6/25/36 3,466,891 3,318,155
Countrywide Alternative Loan Trust FRB Ser. 06-OA19, Class A1, (ICE LIBOR USD 1 Month + 0.18%), 4.533%, 2/20/47 2,001,570 1,507,726
Countrywide Asset-Backed Certificates FRB Ser. 07-10, Class 1A1, (ICE LIBOR USD 1 Month + 0.18%), 4.569%, 6/25/47 4,170,937 3,853,303
Eagle Re, Ltd. 144A FRB Ser. 20-1, Class B1, (ICE LIBOR USD 1 Month + 2.85%), 7.239%, 1/25/30 765,000 693,961
Federal Home Loan Mortgage Corporation
Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class B, (ICE LIBOR USD 1 Month + 9.35%), 13.739%, 4/25/28 329,591 338,363
Structured Agency Credit Risk Debt FRN Ser. 15-HQA1, Class B, (ICE LIBOR USD 1 Month + 8.80%), 13.189%, 3/25/28 2,713,761 2,715,097
Structured Agency Credit Risk Debt FRN Ser. 16-DNA3, Class M3, (ICE LIBOR USD 1 Month + 5.00%), 9.389%, 12/25/28 2,761,803 2,864,702
Structured Agency Credit Risk Debt FRN Ser. 17-HQA2, Class B1, (ICE LIBOR USD 1 Month + 4.75%), 9.139%, 12/25/29 250,000 261,878
Federal Home Loan Mortgage Corporation 144A
Structured Agency Credit Risk Trust FRB Ser. 19-HQA2, Class B2, (ICE LIBOR USD 1 Month + 11.25%), 15.639%, 4/25/49 637,000 670,229
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B2, (ICE LIBOR USD 1 Month + 11.00%), 15.389%, 10/25/48 2,108,000 2,278,165
Structured Agency Credit Risk Trust FRB Ser. 19-DNA1, Class B2, (ICE LIBOR USD 1 Month + 10.75%), 15.139%, 1/25/49 4,520,000 4,899,161
Structured Agency Credit Risk Trust FRB Ser. 19-DNA2, Class B2, (ICE LIBOR USD 1 Month + 10.50%), 14.889%, 3/25/49 282,000 302,082
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA4, Class B2, (ICE LIBOR USD 1 Month + 10.00%), 14.389%, 8/25/50 2,647,000 2,875,304
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA3, Class B2, (ICE LIBOR USD 1 Month + 10.00%), 14.389%, 7/25/50 916,000 991,570
Structured Agency Credit Risk Trust FRB Ser. 19-DNA4, Class B2, (ICE LIBOR USD 1 Month + 6.25%), 10.639%, 10/25/49 1,070,000 1,006,417
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA3, Class B1, (ICE LIBOR USD 1 Month + 5.75%), 10.139%, 7/25/50 1,335,841 1,375,675
Structured Agency Credit Risk Trust FRB Ser. 19-FTR3, Class FTR3, (ICE LIBOR USD 1 Month + 4.80%), 8.816%, 9/25/47 371,000 296,800
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B1, (ICE LIBOR USD 1 Month + 4.25%), 8.639%, 10/25/48 1,347,000 1,378,665
Structured Agency Credit Risk Trust FRB Ser. 18-DNA2, Class B1, (ICE LIBOR USD 1 Month + 3.70%), 8.089%, 12/25/30 2,018,000 2,020,686
Seasoned Credit Risk Transfer Trust Ser. 19-2, Class M, 4.75%, 8/25/58(WAC) 1,129,000 962,999
Seasoned Credit Risk Transfer Trust FRB Ser. 18-3, Class 3, 4.75%, 8/25/57(WAC) 876,000 766,857
Seasoned Credit Risk Transfer Trust Ser. 19-4, Class M, 4.50%, 2/25/59(WAC) 485,000 412,575
Federal National Mortgage Association
Connecticut Avenue Securities FRB Ser. 16-C03, Class 2B, (ICE LIBOR USD 1 Month + 12.75%), 17.139%, 10/25/28 467,250 506,482
Connecticut Avenue Securities FRB Ser. 16-C03, Class 1B, (ICE LIBOR USD 1 Month + 11.75%), 16.139%, 10/25/28 2,822,011 3,059,201
Connecticut Avenue Securities FRB Ser. 16-C04, Class 1B, (ICE LIBOR USD 1 Month + 10.25%), 14.639%, 1/25/29 780,811 811,994
Connecticut Avenue Securities FRB Ser. 16-C06, Class 1B, (ICE LIBOR USD 1 Month + 9.25%), 13.639%, 4/25/29 505,475 508,040
Connecticut Avenue Securities FRB Ser. 17-C02, Class 2B1, (ICE LIBOR USD 1 Month + 5.50%), 9.889%, 9/25/29 1,518,000 1,646,373
Connecticut Avenue Securities FRB Ser. 16-C03, Class 1M2, (ICE LIBOR USD 1 Month + 5.30%), 9.689%, 10/25/28 450,931 473,896
Connecticut Avenue Securities FRB Ser. 17-C07, Class 2B1, (ICE LIBOR USD 1 Month + 4.45%), 8.839%, 5/25/30 2,739,000 2,818,861
Connecticut Avenue Securities FRB Ser. 17-C06, Class 2B1, (ICE LIBOR USD 1 Month + 4.45%), 8.839%, 2/25/30 3,203,000 3,285,080
Connecticut Avenue Securities FRB Ser. 17-C06, Class 1B1, (ICE LIBOR USD 1 Month + 4.15%), 8.539%, 2/25/30 3,742,000 3,897,338
Connecticut Avenue Securities FRB Ser. 18-C06, Class 2B1, (ICE LIBOR USD 1 Month + 4.10%), 8.489%, 3/25/31 1,273,000 1,290,582
Connecticut Avenue Securities FRB Ser. 17-C07, Class 1B1, (ICE LIBOR USD 1 Month + 4.00%), 8.389%, 5/25/30 3,800,000 3,893,553
Connecticut Avenue Securities FRB Ser. 18-C06, Class 1B1, (ICE LIBOR USD 1 Month + 3.75%), 8.139%, 3/25/31 1,687,000 1,690,583
Connecticut Avenue Securities FRB Ser. 18-C03, Class 1B1, (ICE LIBOR USD 1 Month + 3.75%), 8.139%, 10/25/30 1,154,000 1,165,540
Connecticut Avenue Securities FRB Ser. 17-C05, Class 1B1, (ICE LIBOR USD 1 Month + 3.60%), 7.989%, 1/25/30 2,577,000 2,606,965
Federal National Mortgage Association 144A
Connecticut Avenue Securities Trust FRB Ser. 20-SBT1, Class 1B1, (ICE LIBOR USD 1 Month + 6.75%), 11.139%, 2/25/40 2,355,000 2,102,945
Connecticut Avenue Securities Trust FRB Ser. 19-R01, Class 2B1, (ICE LIBOR USD 1 Month + 4.35%), 8.739%, 7/25/31 653,000 665,244
Connecticut Avenue Securities Trust FRB Ser. 20-SBT1, Class 1M2, (ICE LIBOR USD 1 Month + 3.65%), 8.039%, 2/25/40 1,887,000 1,863,666
Connecticut Avenue Securities Trust FRB Ser. 20-R01, Class 1B1, (ICE LIBOR USD 1 Month + 3.25%), 7.639%, 1/25/40 347,000 323,241
Connecticut Avenue Securities Trust FRB Ser. 20-R02, Class 2B1, (ICE LIBOR USD 1 Month + 3.00%), 7.389%, 1/25/40 311,000 279,604
Connecticut Avenue Securities Trust FRB Ser. 22-R02, Class 2M2, (US 30 Day Average SOFR + 3.00%), 6.928%, 1/25/42 2,198,000 2,072,303
Connecticut Avenue Securities Trust FRB Ser. 19-R01, Class 2M2, (ICE LIBOR USD 1 Month + 2.45%), 6.839%, 7/25/31 13,225 13,192
HarborView Mortgage Loan Trust FRB Ser. 05-2, Class 1A, (ICE LIBOR USD 1 Month + 0.52%), 4.859%, 5/19/35 969,633 326,561
Home Re, Ltd. 144A FRB Ser. 21-2, Class B1, (US 30 Day Average SOFR + 4.15%), 8.078%, 1/25/34 (Bermuda) 1,000,000 839,263
JPMorgan Alternative Loan Trust FRB Ser. 06-A6, Class 1A1, (ICE LIBOR USD 1 Month + 0.32%), 4.709%, 11/25/36 1,369,647 1,184,578
LHOME Mortgage Trust 144A Ser. 21-RTL1, Class A1, 2.09%, 2/25/26(WAC) 511,000 485,450
Morgan Stanley ABS Capital I, Inc. Trust FRB Ser. 04-HE9, Class M2, (ICE LIBOR USD 1 Month + 0.93%), 5.319%, 11/25/34 280,468 260,298
Oaktown Re III, Ltd. 144A
FRB Ser. 19-1A, Class B1B, (ICE LIBOR USD 1 Month + 4.35%), 8.739%, 7/25/29 (Bermuda) 695,000 701,147
FRB Ser. 19-1A, Class B1A, (ICE LIBOR USD 1 Month + 3.50%), 7.889%, 7/25/29 (Bermuda) 574,000 566,600
Radnor Re, Ltd. 144A Mortgage Insurance-Linked FRN Ser. 20-1, Class B1, (ICE LIBOR USD 1 Month + 3.00%), 7.389%, 1/25/30 430,000 385,285
Structured Asset Mortgage Investments II Trust FRB Ser. 06-AR7, Class A1BG, (ICE LIBOR USD 1 Month + 0.12%), 4.509%, 8/25/36 235,135 199,675
Toorak Mortgage Corp., Ltd. 144A Ser. 20-1, Class A1, 2.734%, 3/25/23(WAC) 2,130,845 2,031,281
Towd Point Mortgage Trust 144A Ser. 19-2, Class A2, 3.75%, 12/25/58(WAC) 862,000 735,974
WaMu Mortgage Pass-Through Certificates Trust FRB Ser. 05-AR8, Class 2AC2, (ICE LIBOR USD 1 Month + 0.92%), 5.309%, 7/25/45 587,798 512,046
Wells Fargo Home Equity Asset-Backed Securities Trust FRB Ser. 07-2, Class A3, (ICE LIBOR USD 1 Month + 0.23%), 4.619%, 4/25/37 694,298 668,672
88,761,451
Total mortgage-backed securities (cost $435,484,039) $389,343,596








ASSET-BACKED SECURITIES (0.5%)(a)
        Principal amount Value
1Sharpe Mortgage Trust 144A FRB Ser. 20-1, Class NOTE, (ICE LIBOR USD 3 Month + 2.90%), 3.025%, 7/25/24 $1,273,787 $1,257,865
Mello Warehouse Securitization Trust 144A FRB Ser. 21-3, Class D, (ICE LIBOR USD 1 Month + 2.00%), 6.389%, 11/25/55 1,216,000 1,102,668
Total asset-backed securities (cost $2,430,507) $2,360,533








SHORT-TERM INVESTMENTS (18.2%)(a)
        Principal amount/
shares		 Value
Putnam Government Money Market Fund Class P 3.93%(AFF) Shares 10,000 $10,000
Putnam Short Term Investment Fund Class P 4.53%(AFF) Shares 42,731,463 42,731,463
State Street Institutional U.S. Government Money Market Fund, Premier Class 4.12%(P) Shares 17,308,000 17,308,000
U.S. Treasury Bills 4.015%, 1/10/23(SEGSF)(SEGCCS) $2,700,000 2,698,101
U.S. Treasury Bills 3.812%, 2/2/23(SEGSF)(SEGCCS)(SEGTBA) 12,100,000 12,061,609
U.S. Treasury Bills 3.712%, 1/24/23(SEGSF)(SEGCCS) 1,000,000 997,760
U.S. Treasury Bills 3.981%, 1/3/23(SEG)(SEGSF)(SEGCCS) 9,300,000 9,300,000
Total short-term investments (cost $85,104,040) $85,106,933
TOTAL INVESTMENTS
Total investments (cost $1,353,966,317) $1,303,407,905








FUTURES CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)
    Number of contracts Notional
amount		 Value Expiration date Unrealized
appreciation/
(depreciation)
U.S. Treasury Note 2 yr (Short) 909 $186,416,017 $186,416,017 Mar-23 $(202,101)
Unrealized appreciation —
Unrealized (depreciation) (202,101)
Total $(202,101)








FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)
  Counterparty Fixed right or obligation % to receive or (pay)/Floating rate index/Maturity date Expiration date/strike   Notional/
Contract amount		 Premium receivable/
(payable)		 Unrealized
appreciation/
(depreciation)
Bank of America N.A.
(1.39)/US SOFR/Dec-26 (Purchased) Dec-24/1.39 $176,037,200 $(2,024,428) $4,510,073
1.39/US SOFR/Dec-26 (Purchased) Dec-24/1.39 176,037,200 (2,024,428) (1,242,823)
(1.085)/3 month USD-LIBOR-ICE/Apr-34 (Written) Apr-24/1.085 115,721,600 1,588,279 1,270,623
2.17/3 month USD-LIBOR-ICE/Apr-34 (Purchased) Apr-24/2.17 57,860,800 (2,794,677) (2,136,799)
(3.073)/US SOFR/Jun-37 (Written) Jun-27/3.073 53,614,900 3,900,484 614,427
3.073/US SOFR/Jun-37 (Written) Jun-27/3.073 53,614,900 3,900,484 (592,981)
(3.32)/US SOFR/Oct-39 (Purchased) Oct-29/3.32 39,112,600 (3,109,452) 126,334
3.32/US SOFR/Oct-39 (Purchased) Oct-29/3.32 39,112,600 (3,109,452) (91,915)
(3.17)/US SOFR/Dec-35 (Purchased) Dec-25/3.17 32,653,500 (1,697,982) 570,783
2.67/US SOFR/Dec-35 (Purchased) Dec-25/2.67 32,653,500 (1,665,329) (366,372)
(3.18)/US SOFR/Dec-35 (Purchased) Dec-25/3.18 31,673,900 (1,599,532) 583,750
2.68/US SOFR/Dec-35 (Purchased) Dec-25/2.68 31,673,900 (1,599,532) (332,259)
(1.29)/3 month USD-LIBOR-ICE/Mar-34 (Written) Mar-24/1.29 28,930,400 451,314 363,655
(3.101)/US SOFR/Jun-39 (Written) Jun-29/3.101 21,231,500 1,658,180 199,788
3.101/US SOFR/Jun-39 (Written) Jun-29/3.101 21,231,500 1,658,180 (232,273)
2.29/3 month USD-LIBOR-ICE/Mar-34 (Purchased) Mar-24/2.29 20,251,300 (996,075) (762,259)
(3.343)/US SOFR/Dec-35 (Purchased) Dec-25/3.343 19,953,000 (1,293,952) 1,796
3.343/US SOFR/Dec-35 (Purchased) Dec-25/3.343 19,953,000 (1,293,952) (798)
(1.275)/3 month USD-LIBOR-ICE/Mar-50 (Purchased) Mar-30/1.275 12,942,000 (1,685,696) 2,021,670
1.275/3 month USD-LIBOR-ICE/Mar-50 (Purchased) Mar-30/1.275 12,942,000 (1,685,696) (1,051,149)
(2.558)/US SOFR/Dec-57 (Purchased) Dec-27/2.558 12,352,300 (1,825,670) 281,262
2.558/US SOFR/Dec-57 (Purchased) Dec-27/2.558 12,352,300 (1,825,670) (417,137)
(2.47)/US SOFR/Dec-57 (Purchased) Dec-27/2.47 9,034,500 (1,341,623) 274,558
2.47/US SOFR/Dec-57 (Purchased) Dec-27/2.47 9,034,500 (1,341,623) (365,536)
(1.405)/US SOFR/Dec-58 (Purchased) Dec-28/1.405 2,526,100 (387,441) 359,691
1.405/US SOFR/Dec-58 (Purchased) Dec-28/1.405 2,526,100 (387,441) (217,497)
Barclays Bank PLC
(2.232)/3 month USD-LIBOR-ICE/Jun-51 (Purchased) Jun-31/2.232 12,539,500 (1,519,160) 907,233
2.232/3 month USD-LIBOR-ICE/Jun-51 (Purchased) Jun-31/2.232 12,539,500 (1,519,160) (572,930)
(3.09)/US SOFR/Dec-42 (Purchased) Dec-32/3.09 4,715,100 (383,573) 44,463
3.09/US SOFR/Dec-42 (Purchased) Dec-32/3.09 4,715,100 (383,573) (21,689)
Citibank, N.A.
(1.752)/3 month USD-LIBOR-ICE/Dec-31 (Purchased) Dec-26/1.752 86,001,300 (2,803,642) 4,628,590
1.752/3 month USD-LIBOR-ICE/Dec-31 (Purchased) Dec-26/1.752 86,001,300 (2,803,642) (1,538,563)
(1.90)/3 month USD-LIBOR-ICE/Jun-28 (Purchased) Jun-26/1.90 71,961,800 (959,251) 1,532,786
1.90/3 month USD-LIBOR-ICE/Jun-28 (Purchased) Jun-26/1.90 71,961,800 (959,251) (425,294)
(1.99)/US SOFR/Feb-42 (Purchased) Feb-32/1.99 23,191,700 (1,826,346) 1,244,699
1.99/US SOFR/Feb-42 (Purchased) Feb-32/1.99 23,191,700 (1,826,346) (708,506)
2.394/US SOFR/Sep-33 (Purchased) Sep-23/2.394 22,133,600 (267,817) (74,590)
(1.826)/US SOFR/Jan-42 (Purchased) Jan-32/1.826 17,079,100 (1,261,292) 1,107,067
1.826/US SOFR/Jan-42 (Purchased) Jan-32/1.826 17,079,100 (1,261,292) (510,324)
(1.625)/3 month USD-LIBOR-ICE/Jan-61 (Purchased) Jan-41/1.625 14,080,100 (2,076,815) 642,897
1.625/3 month USD-LIBOR-ICE/Jan-61 (Purchased) Jan-41/1.625 14,080,100 (2,076,815) (450,422)
(1.724)/US SOFR/Mar-53 (Purchased) Mar-23/1.724 9,762,800 (736,603) 1,949,338
1.724/US SOFR/Mar-53 (Purchased) Mar-23/1.724 9,762,800 (736,603) (730,062)
(1.735)/US SOFR/Mar-53 (Purchased) Mar-23/1.735 8,812,200 (651,442) 1,754,245
1.735/US SOFR/Mar-53 (Purchased) Mar-23/1.735 8,812,200 (651,442) (645,406)
(2.285)/3 month USD-LIBOR-ICE/Mar-51 (Purchased) Mar-41/2.285 8,587,600 (741,539) 149,682
2.285/3 month USD-LIBOR-ICE/Mar-51 (Purchased) Mar-41/2.285 8,587,600 (741,539) (81,153)
(2.427)/3 month USD-LIBOR-ICE/Jun-41 (Purchased) Jun-31/2.427 6,879,800 (501,193) 358,300
2.427/3 month USD-LIBOR-ICE/Jun-41 (Purchased) Jun-31/2.427 6,879,800 (501,193) (175,985)
(1.75)/US SOFR/Mar-53 (Purchased) Mar-23/1.75 5,918,800 (443,022) 1,156,652
1.75/US SOFR/Mar-53 (Purchased) Mar-23/1.75 5,918,800 (443,022) (438,997)
(2.689)/3 month USD-LIBOR-ICE/Nov-49 (Purchased) Nov-24/2.689 4,579,000 (589,546) 173,361
2.689/3 month USD-LIBOR-ICE/Nov-49 (Purchased) Nov-24/2.689 4,579,000 (589,546) (358,856)
Goldman Sachs International
3.92/US SOFR/Feb-33 (Purchased) Feb-23/3.92 22,530,900 (492,300) 307,997
(3.92)/US SOFR/Feb-33 (Purchased) Feb-23/3.92 22,530,900 (492,300) (394,741)
(2.8175)/3 month USD-LIBOR-ICE/Mar-47 (Purchased) Mar-27/2.8175 4,497,500 (567,809) 132,991
2.8175/3 month USD-LIBOR-ICE/Mar-47 (Purchased) Mar-27/2.8175 4,497,500 (567,809) (242,235)
JPMorgan Chase Bank N.A.
(1.70)/US SOFR/Jan-29 (Written) Jan-24/1.70 27,464,600 586,026 457,011
1.70/US SOFR/Jan-29 (Written) Jan-24/1.70 27,464,600 586,026 (1,565,208)
(3.0175)/US SOFR/Dec-42 (Purchased) Dec-32/3.0175 24,704,500 (2,081,354) 236,669
3.0175/US SOFR/Dec-42 (Purchased) Dec-32/3.0175 24,704,500 (2,081,354) (214,929)
(2.031)/3 month USD-LIBOR-ICE/Feb-41 (Purchased) Feb-31/2.031 10,707,100 (732,366) 795,323
2.031/3 month USD-LIBOR-ICE/Feb-41 (Purchased) Feb-31/2.031 10,707,100 (732,366) (317,251)
(1.985)/3 month USD-LIBOR-ICE/Jan-41 (Purchased) Jan-31/1.985 7,647,900 (524,646) 583,764
1.985/3 month USD-LIBOR-ICE/Jan-41 (Purchased) Jan-31/1.985 7,647,900 (524,646) (233,032)
(1.81)/US SOFR/Jan-37 (Written) Jan-27/1.81 4,234,200 250,241 136,214
1.81/US SOFR/Jan-37 (Written) Jan-27/1.81 4,234,200 250,241 (346,569)
Morgan Stanley & Co. International PLC
(2.505)/3 month USD-LIBOR-ICE/Nov-49 (Purchased) Nov-24/2.505 4,579,000 (701,503) 167,134
2.505/3 month USD-LIBOR-ICE/Nov-49 (Purchased) Nov-24/2.505 4,579,000 (492,700) (304,641)
(3.27)/3 month USD-LIBOR-ICE/Oct-53 (Purchased) Oct-23/3.27 219,200 (25,011) (5,820)
3.27/3 month USD-LIBOR-ICE/Oct-53 (Purchased) Oct-23/3.27 219,200 (25,011) (11,309)
Toronto-Dominion Bank
(1.937)/3 month USD-LIBOR-ICE/Feb-36 (Purchased) Feb-26/1.937 5,742,300 (300,322) 540,523
1.937/3 month USD-LIBOR-ICE/Feb-36 (Purchased) Feb-26/1.937 5,742,300 (300,322) (186,625)
(2.405)/3 month USD-LIBOR-ICE/Mar-41 (Purchased) Mar-31/2.405 2,820,300 (196,716) 157,373
2.405/3 month USD-LIBOR-ICE/Mar-41 (Purchased) Mar-31/2.405 2,820,300 (196,716) (68,420)
Wells Fargo Bank, N.A.
3.0575/US SOFR/Jan-33 (Purchased) Jan-23/3.0575 24,703,100 (186,508) (180,580)
Unrealized appreciation 30,342,722
Unrealized (depreciation) (18,613,935)
Total $11,728,787










OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)
  Swap counterparty/
notional amount		 Value   Upfront premium received (paid)   Termi-
nation
date		 Payments made by fund   Payments received by fund Unrealized
appreciation/
(depreciation)
Morgan Stanley & Co. International PLC
$50,000,000 $1,024,500 $1,162,857 9/21/27 3.30% — Annually US SOFR — Annually $2,181,665
370,000,000 7,422,200 2,201,886 9/21/24 3.40% — Annually US SOFR — Annually 9,663,251
Upfront premium received 3,364,743 Unrealized appreciation 11,844,916
Upfront premium (paid) — Unrealized (depreciation) —
Total $3,364,743 Total $11,844,916








CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)
  Notional amount Value   Upfront premium received (paid)   Termi-
nation
date		 Payments made by fund   Payments received by fund Unrealized
appreciation/
(depreciation)
$17,746,600 $3,333,699 $743,348 9/1/32 3 month USD-LIBOR-ICE — Quarterly 1.512% — Semiannually $(2,573,658)
30,378,000 1,221,499 1,468 12/23/23 0.695% — Annually US SOFR — Annually 1,250,356
28,248,000 2,869,714 2,428 12/23/26 1.085% — Annually US SOFR — Annually 2,894,857
44,700,000 7,759,026 (11,629) 12/23/31 US SOFR — Annually 1.285% — Annually (7,804,364)
16,940,000 5,593,419 (30,163) 12/23/51 US SOFR — Annually 1.437% — Annually (5,635,712)
77,601,000 3,118,784 (7,896) 12/24/23 0.697% — Annually US SOFR — Annually 3,141,960
8,211,000 831,200 523 12/24/26 US SOFR — Annually 1.096% — Annually (833,601)
75,507,000 13,108,770 (33,708) 12/24/31 1.285% — Annually US SOFR — Annually 13,100,363
10,717,000 3,542,504 (5,792) 12/24/51 1.435% — Annually US SOFR — Annually 3,540,125
2,051,000 644,055 (334) 12/31/51 1.525% — Annually US SOFR — Annually 644,037
4,905,000 491,138 (651) 12/31/26 US SOFR — Annually 1.135% — Annually (492,651)
2,561,900 168,983 (E) (57) 1/15/47 1.724% — Annually US SOFR — Annually 168,926
9,386,000 2,684,021 (320) 1/21/52 1.679% — Annually US SOFR — Annually 2,669,187
9,856,000 2,914,222 (336) 1/19/52 US SOFR — Annually 1.626% — Annually (2,922,031)
18,503,000 5,375,492 (631) 2/1/52 1.6545% — Annually US SOFR — Annually 5,354,176
10,668,100 944,020 (E) (364) 2/13/57 1.68% — Annually US SOFR — Annually 943,656
24,475,300 6,188,580 (835) 2/24/52 US SOFR — Annually 1.86% — Annually (6,144,101)
1,881,000 507,663 (64) 2/29/52 1.7674% — Annually US SOFR — Annually 507,138
5,733,000 805,200 (76) 2/29/32 US SOFR — Annually 1.75% — Annually (800,999)
13,299,000 1,096,769 (108) 2/28/27 1.675% — Annually US SOFR — Annually 1,124,681
11,772,000 447,925 (45) 2/29/24 US SOFR — Annually 1.47709% — Annually (492,358)
7,332,800 1,068,829 (97) 3/7/32 3 month USD-LIBOR-ICE — Quarterly 1.9575% — Semiannually (1,047,525)
20,619,900 3,227,633 (273) 3/9/32 1.5475% — Annually US SOFR — Annually 3,268,756
21,379,100 3,356,519 (283) 3/9/32 1.5415% — Annually US SOFR — Annually 3,402,862
11,271,000 1,599,580 (149) 3/11/32 1.737% — Annually US SOFR — Annually 1,603,417
14,228,000 415,315 (54) 4/7/24 2.45% — Annually US SOFR — Annually 386,118
12,816,000 680,145 (104) 4/7/27 2.469% — Annually US SOFR — Annually 631,323
11,968,000 1,155,032 (159) 4/7/23 2.3305% — Annually US SOFR — Annually 1,122,597
2,606,000 543,169 (89) 4/7/52 2.1015% — Annually US SOFR — Annually 538,401
8,956,000 1,473,172 (305) 4/14/52 US SOFR — Annually 2.3395% — Annually (1,437,697)
2,050,000 171,565 (27) 4/14/32 US SOFR — Annually 2.4965% — Annually (161,219)
9,554,000 503,018 (77) 4/14/27 2.483% — Annually US SOFR — Annually 465,339
5,859,000 176,297 (22) 4/14/24 2.405% — Annually US SOFR — Annually 168,680
51,844,600 2,333,525 (489) 5/2/27 US SOFR — Annually 2.685% — Annually (2,223,441)
96,127,500 2,837,684 (362) 5/25/24 2.5945% — Annually US SOFR — Annually 2,806,800
10,207,000 1,373,046 (348) 5/25/52 US SOFR — Annually 2.501% — Annually (1,358,808)
25,683,000 1,646,537 (341) 6/7/32 US SOFR — Annually 2.7565% — Annually (1,575,285)
6,150,000 689,231 (210) 6/7/52 US SOFR — Annually 2.622% — Annually (682,066)
82,198,300 4,825,040 (1,090) 6/8/32 US SOFR — Annually 2.825% — Annually (4,698,001)
9,706,600 2,151,274 (1,218,311) 6/22/52 2.3075% — Semiannually 3 month USD-LIBOR-ICE — Quarterly 940,100
23,054,000 616,925 (87) 6/10/24 US SOFR — Annually 2.833% — Annually (563,575)
19,230,000 784,007 (156) 6/10/27 2.8025% — Annually US SOFR — Annually 743,035
124,460,000 2,477,999 (469) 6/15/24 US SOFR — Annually 3.3385% — Annually (2,055,873)
64,279,000 1,628,830 (520) 6/15/27 3.185% — Annually US SOFR — Annually 1,464,871
12,203,100 702,899 (E) (173) 2/3/33 3.13% — Semiannually 3 month USD-LIBOR-ICE — Quarterly 702,726
3,707,000 446,175 (126) 7/8/52 US SOFR — Annually 2.5765% — Annually (448,198)
12,761,000 858,943 (169) 7/15/32 US SOFR — Annually 2.723% — Annually (857,741)
19,187,400 1,598,310 (E) (272) 1/31/33 2.545% — Annually US SOFR — Annually 1,598,039
19,187,400 1,590,444 (E) (272) 1/31/33 2.55% — Annually US SOFR — Annually 1,590,172
18,071,900 1,579,846 (E) (256) 2/1/33 2.495% — Annually US SOFR — Annually 1,579,590
26,054,000 2,378,730 (345) 8/2/32 US SOFR — Annually 2.4275% — Annually (2,439,982)
17,670,300 1,673,201 (E) (250) 2/1/33 2.4075% — Annually US SOFR — Annually 1,672,951
4,084,700 183,852 (E) (80) 4/1/42 US SOFR — Annually 2.63% — Annually (183,932)
3,345,600 241,519 (E) (50) 3/24/35 US SOFR — Annually 2.39% — Annually (241,569)
5,261,700 613,199 (155) 8/10/42 2.645% — Annually US SOFR — Annually 623,501
8,918,100 1,089,524 (19,883) 8/10/42 US SOFR — Annually 2.605% — Annually (1,126,827)
3,656,500 453,662 (108) 8/10/42 2.5915% — Annually US SOFR — Annually 460,872
20,916,000 884,119 (E) (197) 2/6/29 2.40% — Annually US SOFR — Annually 883,923
29,796,000 2,282,970 (393) 8/16/32 US SOFR — Annually 2.613% — Annually (2,342,112)
3,797,800 97,983 (E) (84) 1/15/47 2.49% — Annually US SOFR — Annually 97,899
16,263,000 593,112 (E) (317) 11/29/38 US SOFR — Annually 2.87% — Annually (593,429)
3,069,000 127,855 (E) (46) 2/21/35 2.785% — Annually US SOFR — Annually 127,809
57,204,000 1,128,635 (215) 9/6/24 US SOFR — Annually 3.413% — Annually (1,106,345)
18,902,800 163,887 (E) (105) 1/15/27 US SOFR — Annually 2.73% — Annually (163,992)
29,214,700 1,231,984 (386) 9/13/32 3.043% — Annually US SOFR — Annually 1,256,058
9,830,400 219,218 (E) (192) 1/15/41 3.0500% — Annually US SOFR — Annually 219,026
1,933,500 46,752 (E) (38) 1/15/42 2.9825% — Annually US SOFR — Annually 46,714
6,879,000 403,660 (234) 9/26/52 2.905% — Annually US SOFR — Annually 413,117
35,771,000 479,331 (336) 9/26/27 US SOFR — Annually 3.465% — Annually (476,087)
4,174,000 89,616 (E) (142) 2/13/57 2.40% — Annually US SOFR — Annually 89,474
21,097,000 402,953 (278) 9/23/32 3.3275% — Annually US SOFR — Annually 410,550
1,708,706 77,575 (58) 9/28/52 2.976% — Annually US SOFR — Annually 79,737
9,910,000 55,694 (131) 9/30/32 3.493% — Annually US SOFR — Annually 56,839
9,785,000 80,922 (129) 10/4/32 US SOFR — Annually 3.4605% — Annually (81,181)
5,036,000 36,511 (66) 10/4/23 US SOFR — Annually 3.473% — Annually (36,489)
4,426,700 12,439 (E) (62) 10/3/33 3.394% — Annually US SOFR — Annually 12,377
25,412,000 27,699 (205) 10/4/27 3.75% — Annually US SOFR — Annually 9,644
26,632,000 207,996 (352) 10/5/32 US SOFR — Annually 3.466% — Annually (210,902)
6,233,000 116,183 (E) (94) 10/21/36 US SOFR — Annually 3.116% — Annually (116,277)
1,516,000 27,015 (E) (21) 1/11/33 US SOFR — Annually 3.34% — Annually (27,037)
5,355,000 93,927 (E) (76) 1/31/33 US SOFR — Annually 3.337% — Annually (94,002)
5,355,000 95,694 (E) (76) 1/31/33 US SOFR — Annually 3.333% — Annually (95,769)
21,863,000 378,011 (E) (308) 8/23/33 US SOFR — Annually 3.237% — Annually (378,320)
4,998,000 92,263 (E) (70) 2/1/33 US SOFR — Annually 3.3255% — Annually (92,334)
21,022,000 375,873 (E) (296) 9/1/33 US SOFR — Annually 3.225% — Annually (376,170)
6,296,000 110,558 (89) 11/14/32 3.347% — Annually US SOFR — Annually 113,332
2,233,000 115,669 (E) (76) 2/3/53 2.9275% — Annually US SOFR — Annually 115,593
4,194,000 83,544 (E) (59) 2/1/33 US SOFR — Annually 3.308% — Annually (83,604)
11,294,000 366,264 (E) (384) 12/2/55 2.81% — Annually US SOFR — Annually 365,880
54,209,000 375,668 (203) 10/7/24 US SOFR — Annually 4.1845% — Annually (298,480)
14,969,000 74,845 (198) 10/7/32 3.5005% — Annually US SOFR — Annually 70,086
108,418,000 741,579 24,824 10/7/24 4.19% — Annually US SOFR — Annually 610,167
42,669,000 81,924 (10,088) 10/7/27 US SOFR — Annually 3.73% — Annually (77,412)
145,033,000 730,966 (57,019) 10/7/32 3.50% — Annually US SOFR — Annually 704,008
29,938,000 126,638 (28,668) 10/7/32 US SOFR — Annually 3.51% — Annually (160,796)
52,540,000 1,656,061 35,186 10/7/52 US SOFR — Annually 3.05% — Annually (1,688,245)
17,536,000 29,636 (E) (121) 4/8/28 3.44% — Annually US SOFR — Annually (29,757)
47,813,000 59,766 (E) (179) 1/31/25 US SOFR — Annually 4.035% — Annually 59,587
4,940,600 43,181 (E) (70) 1/17/33 3.6575% — Annually US SOFR — Annually (43,251)
2,624,000 26,791 (E) (89) 1/16/55 2.97% — Annually US SOFR — Annually 26,702
36,069,000 116,864 (E) (200) 1/16/26 US SOFR — Annually 3.605% — Annually 116,663
654,000 14,604 (22) 10/20/52 US SOFR — Annually 3.3375% — Annually 14,407
3,106,400 58,959 (E) (106) 1/24/55 3.135% — Annually US SOFR — Annually (59,065)
6,852,500 92,372 (E) (64) 4/13/28 3.965% — Annually US SOFR — Annually (92,436)
2,266,200 40,860 (E) (34) 4/4/35 3.5575% — Annually US SOFR — Annually (40,894)
4,532,400 52,032 (E) (51) 5/8/30 US SOFR — Annually 3.52% — Annually 51,981
6,205,100 15,202 (E) (54) 4/4/32 3.515% — Annually US SOFR — Annually (15,256)
4,243,200 84,397 (E) (64) 2/19/36 US SOFR — Annually 3.6145% — Annually 84,334
3,145,000 62,082 (E) (47) 3/3/36 US SOFR — Annually 3.614% — Annually 62,035
13,510,256 600,126 (459) 10/24/52 US SOFR — Annually 3.4555% — Annually 596,391
65,519,800 260,114 (E) (246) 6/26/25 US SOFR — Annually 4.31% — Annually 259,868
13,314,700 397,976 (E) (188) 12/4/33 US SOFR — Annually 3.77% — Annually 397,789
5,329,700 70,992 (E) (60) 3/24/32 US SOFR — Annually 3.64% — Annually 70,932
27,502,000 109,458 (103) 11/9/24 US SOFR — Annually 4.7655% — Annually 161,265
16,700,000 149,298 (220) 11/21/32 3.4515% — Annually US SOFR — Annually 158,482
2,122,800 14,499 (28) 11/25/32 3.477% — Annually US SOFR — Annually 14,399
32,520,000 91,056 (122) 12/5/24 4.3515% — Annually US SOFR — Annually 72,306
7,900,000 274,288 (104) 12/9/32 3.14% — Annually US SOFR — Annually 274,576
2,409,200 177,269 (E) (82) 12/10/57 2.47% — Annually US SOFR — Annually 177,187
3,088,100 183,032 (E) (105) 12/13/57 2.558% — Annually US SOFR — Annually 182,927
38,918,000 175,909 (E) 128,784 3/15/25 US SOFR — Annually 4.10% — Annually (47,125)
176,109,000 75,727 (E) 706,899 3/15/28 3.70% — Annually US SOFR — Annually 631,172
169,869,000 3,237,703 (E) (2,377,831) 3/15/33 3.30% — Annually US SOFR — Annually 859,872
48,403,000 2,641,836 (E) 2,365,953 3/15/53 US SOFR — Annually 2.90% — Annually (275,883)
10,434,000 78,046 (136) 12/29/32 3.468% — Annually US SOFR — Annually 78,629
8,593,000 32,825 (292) 12/29/52 US SOFR — Annually 3.1925% — Annually (33,911)
5,731,000 16,391 (76) 12/29/32 3.5235% — Annually US SOFR — Annually 16,686
3,790,000 37,900 (129) 12/30/52 3.1595% — Annually US SOFR — Annually 38,011
2,661,000 17,563 (90) 12/30/52 3.248% — Annually US SOFR — Annually (17,498)
29,385,000 22,333 (388) 1/3/33 US SOFR — Annually 3.5475% — Annually (22,720)
44,695,000 42,460 (360) 1/3/28 3.7245% — Annually US SOFR — Annually 42,100
7,055,000 18,272 (93) 1/3/33 US SOFR — Annually 3.5255% — Annually (18,366)
Total $186,339 $13,243,787
(E) Extended effective date.








OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 12/31/22 (Unaudited)
  Swap counterparty/
referenced debt*		 Rating*** Upfront premium received (paid)**   Notional
amount		 Value   Termi-
nation
date		   Payments received
by fund		 Unrealized
appreciation/
(depreciation)
Citigroup Global Markets, Inc.
CMBX NA BB.11 Index BB-/P $42,375 $75,000 $16,058 11/18/54 500 bp — Monthly $26,390
CMBX NA BB.13 Index BB-/P 75,581 756,000 199,357 12/16/72 500 bp — Monthly (123,042)
CMBX NA BB.13 Index BB-/P 78,819 865,000 228,101 12/16/72 500 bp — Monthly (148,441)
CMBX NA BB.13 Index BB-/P 82,147 901,000 237,594 12/16/72 500 bp — Monthly (154,571)
CMBX NA BB.13 Index BB-/P 129,386 1,371,000 361,533 12/16/72 500 bp — Monthly (230,814)
CMBX NA BB.14 Index BB/P 169,285 1,544,000 368,707 12/16/72 500 bp — Monthly (197,922)
CMBX NA BB.6 Index B/P 617,410 1,053,584 403,101 5/11/63 500 bp — Monthly 215,334
CMBX NA BB.9 Index B/P 36,851 181,000 56,327 9/17/58 500 bp — Monthly (19,300)
CMBX NA BB.9 Index B/P 287,137 1,406,000 437,547 9/17/58 500 bp — Monthly (149,043)
CMBX NA BB.9 Index B/P 1,102,022 1,964,000 611,197 9/17/58 500 bp — Monthly 492,735
CMBX NA BBB-.10 Index BB+/P 89,090 718,000 124,429 11/17/59 300 bp — Monthly (34,920)
CMBX NA BBB-.10 Index BB+/P 96,874 888,000 153,890 11/17/59 300 bp — Monthly (56,498)
CMBX NA BBB-.11 Index BBB-/P 59,693 953,000 144,665 11/18/54 300 bp — Monthly (84,417)
CMBX NA BBB-.13 Index BBB-/P 17,539 200,000 40,600 12/16/72 300 bp — Monthly (22,944)
CMBX NA BBB-.13 Index BBB-/P 90,654 493,000 100,079 12/16/72 300 bp — Monthly (9,137)
CMBX NA BBB-.14 Index BBB-/P 10,885 220,000 40,920 12/16/72 300 bp — Monthly (29,907)
CMBX NA BBB-.14 Index BBB-/P 13,829 369,000 68,634 12/16/72 300 bp — Monthly (54,590)
CMBX NA BBB-.15 Index BBB-/P 45,229 433,000 83,006 11/18/64 300 bp — Monthly (37,525)
CMBX NA BBB-.15Index BBB-/P 40,101 236,000 45,241 11/18/64 300 bp — Monthly (5,003)
Credit Suisse International
CMBX NA BB.7 Index B-/P 36,784 275,000 91,740 1/17/47 500 bp — Monthly (54,688)
Goldman Sachs International
CMBX NA A.14 Index A-/P 88,593 1,540,000 133,056 12/16/72 200 bp — Monthly (43,864)
CMBX NA A.7 Index BBB+/P (1,645) 1,128,000 64,296 1/17/47 200 bp — Monthly (65,502)
CMBX NA BB.14 Index BB/P 244,888 1,573,000 375,632 12/16/72 500 bp — Monthly (129,215)
CMBX NA BB.6 Index B/P 1,232,340 2,469,531 944,842 5/11/63 500 bp — Monthly 289,898
CMBX NA BB.7 Index B-/P 59,391 175,000 58,380 1/17/47 500 bp — Monthly 1,181
CMBX NA BB.7 Index B-/P 77,674 231,000 77,062 1/17/47 500 bp — Monthly 837
CMBX NA BB.7 Index B-/P 131,040 416,000 138,778 1/17/47 500 bp — Monthly (7,333)
CMBX NA BBB-.11 Index BBB-/P 64 1,000 152 11/18/54 300 bp — Monthly (88)
CMBX NA BBB-.13 Index BBB-/P 13,523 79,000 16,037 12/16/72 300 bp — Monthly (2,468)
CMBX NA BBB-.14 Index BBB-/P 175,307 1,024,000 190,464 12/16/72 300 bp — Monthly (14,560)
CMBX NA BBB-.14 Index BBB-/P 426,305 2,806,000 521,916 12/16/72 300 bp — Monthly (93,974)
CMBX NA BBB-.15 Index BBB-/P 26,714 430,000 82,431 11/18/64 300 bp — Monthly (55,466)
CMBX NA BBB-.15 Index BBB-/P 53,068 596,000 114,253 11/18/64 300 bp — Monthly (60,838)
CMBX NA BBB-.15 Index BBB-/P 55,090 596,000 114,253 11/18/64 300 bp — Monthly (58,816)
JPMorgan Securities LLC
CMBX NA A.14 Index A-/P (2,765) 470,000 40,608 12/16/72 200 bp — Monthly (43,190)
CMBX NA BB.10 Index B/P 28,886 360,000 114,768 5/11/63 500 bp — Monthly (85,532)
CMBX NA BB.7 Index B-/P 16,440 48,000 16,013 1/17/47 500 bp — Monthly 474
CMBX NA BB.7 Index B-/P 158,648 324,000 108,086 1/17/47 500 bp — Monthly 50,877
CMBX NA BBB-.13 Index BBB-/P 81,687 618,000 125,454 12/16/72 300 bp — Monthly (43,407)
CMBX NA BBB-.8 Index BB/P 103,543 664,000 105,576 10/17/57 300 bp — Monthly (1,646)
Merrill Lynch International
CMBX NA BB.6 Index B/P 186,736 1,141,782 436,846 5/11/63 500 bp — Monthly (248,999)
CMBX NA BB.7 Index B-/P 20,331 168,000 56,045 1/17/47 500 bp — Monthly (35,550)
Morgan Stanley & Co. International PLC
CMBX NA A.14 Index A-/P (2,643) 210,000 18,144 12/16/72 200 bp — Monthly (20,705)
CMBX NA A.14 Index A-/P (3,557) 267,000 23,069 12/16/72 200 bp — Monthly (26,522)
CMBX NA A.14 Index A-/P (3,172) 285,000 24,624 12/16/72 200 bp — Monthly (27,685)
CMBX NA A.14 Index A-/P (2,423) 412,000 35,597 12/16/72 200 bp — Monthly (37,860)
CMBX NA A.14 Index A-/P (8,390) 667,000 57,629 12/16/72 200 bp — Monthly (65,759)
CMBX NA A.14 Index A-/P 9,383 734,000 63,418 12/16/72 200 bp — Monthly (53,749)
CMBX NA A.14 Index A-/P (13,795) 930,000 80,352 12/16/72 200 bp — Monthly (93,785)
CMBX NA A.14 Index A-/P (14,491) 930,000 80,352 12/16/72 200 bp — Monthly (94,481)
CMBX NA A.14 Index A-/P (14,491) 930,000 80,352 12/16/72 200 bp — Monthly (94,481)
CMBX NA A.14 Index A-/P (19,650) 1,395,000 120,528 12/16/72 200 bp — Monthly (139,635)
CMBX NA A.15 Index A-/P 3,624 177,000 16,284 11/18/64 200 bp — Monthly (12,591)
CMBX NA A.6 Index A/P (2,510) 149,992 20,189 5/11/63 200 bp — Monthly (22,634)
CMBX NA BB.13 Index BB-/P 575 6,000 1,582 12/16/72 500 bp — Monthly (1,001)
CMBX NA BB.13 Index BB-/P 14,044 151,000 39,819 12/16/72 500 bp — Monthly (25,628)
CMBX NA BB.13 Index BB-/P 14,439 153,000 40,346 12/16/72 500 bp — Monthly (25,758)
CMBX NA BB.13 Index BB-/P 26,993 294,000 77,528 12/16/72 500 bp — Monthly (50,249)
CMBX NA BB.13 Index BB-/P 55,818 301,000 79,374 12/16/72 500 bp — Monthly (23,264)
CMBX NA BB.13 Index BB-/P 33,293 363,000 95,723 12/16/72 500 bp — Monthly (62,077)
CMBX NA BB.13 Index BB-/P 61,324 673,000 177,470 12/16/72 500 bp — Monthly (115,492)
CMBX NA BB.13 Index BB-/P 80,638 873,000 230,210 12/16/72 500 bp — Monthly (148,724)
CMBX NA BB.6 Index B/P 8,315 31,450 12,033 5/11/63 500 bp — Monthly (3,688)
CMBX NA BB.6 Index B/P 24,114 78,626 30,082 5/11/63 500 bp — Monthly (5,892)
CMBX NA BB.6 Index B/P 67,200 109,392 41,853 5/11/63 500 bp — Monthly 25,453
CMBX NA BB.6 Index B/P 73,122 144,945 55,456 5/11/63 500 bp — Monthly 17,807
CMBX NA BB.7 Index B-/P 146,668 437,000 145,783 1/17/47 500 bp — Monthly 1,310
CMBX NA BBB-.13 Index BBB-/P 223 3,000 609 12/16/72 300 bp — Monthly (384)
CMBX NA BBB-.13 Index BBB-/P 1,016 5,000 1,015 12/16/72 300 bp — Monthly 4
CMBX NA BBB-.14 Index BBB-/P 115,353 716,000 133,176 12/16/72 300 bp — Monthly (17,405)
CMBX NA BBB-.14 Index BBB-/P 185,929 1,130,000 210,180 12/16/72 300 bp — Monthly (23,592)
CMBX NA BBB-.14 Index BBB-/P 375,208 2,260,000 420,360 12/16/72 300 bp — Monthly (43,833)
CMBX NA BBB-.15 Index BBB-/P 23,408 415,000 79,556 11/18/64 300 bp — Monthly (55,906)
CMBX NA BBB-.15 Index BBB-/P 58,932 642,000 123,071 11/18/64 300 bp — Monthly (63,765)
CMBX NA BBB-.7 Index BB-/P 9,392 138,000 29,546 1/17/47 300 bp — Monthly (20,074)
CMBX NA BBB-.9 Index BB+/P 47,282 487,000 91,848 9/17/58 300 bp — Monthly (44,282)
Upfront premium received 7,738,252 Unrealized appreciation 1,122,300
Upfront premium (paid) (89,532) Unrealized (depreciation) (3,824,111)
Total $7,648,720 Total $(2,701,811)
* Payments related to the referenced debt are made upon a credit default event.
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.
*** Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at December 31, 2022. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor’s classifications.








OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 12/31/22 (Unaudited)
  Swap counterparty/
referenced debt*		 Upfront premium received (paid)**   Notional amount Value   Termi-
nation
date		   Payments (paid) by fund Unrealized
appreciation/
(depreciation)
Citigroup Global Markets, Inc.
CMBX NA A.6 Index $(20,929) $115,590 $15,558 5/11/63 (200 bp) — Monthly $(5,420)
CMBX NA A.6 Index (2,545) 14,219 1,914 5/11/63 (200 bp) — Monthly (637)
CMBX NA A.6 Index (1,459) 8,256 1,111 5/11/63 (200 bp) — Monthly (351)
CMBX NA A.6 Index (821) 4,587 617 5/11/63 (200 bp) — Monthly (206)
CMBX NA A.6 Index (821) 4,587 617 5/11/63 (200 bp) — Monthly (206)
CMBX NA A.6 Index (483) 2,752 370 5/11/63 (200 bp) — Monthly (114)
CMBX NA BB.10 Index (15,241) 139,000 44,313 11/17/59 (500 bp) — Monthly 28,937
CMBX NA BB.10 Index (11,793) 113,000 36,024 11/17/59 (500 bp) — Monthly 24,122
CMBX NA BB.11 Index (4,242) 45,000 9,635 11/18/54 (500 bp) — Monthly 5,349
CMBX NA BB.11 Index (3,887) 30,000 6,423 11/18/54 (500 bp) — Monthly 2,507
CMBX NA BB.6 Index (11,333) 54,012 20,665 5/11/63 (500 bp) — Monthly 9,280
CMBX NA BB.7 Index (105,844) 2,074,000 691,886 1/17/47 (500 bp) — Monthly 581,309
CMBX NA BB.8 Index (155,393) 435,807 157,326 10/17/57 (500 bp) — Monthly 1,510
CMBX NA BBB-.10 Index (486,410) 2,829,000 490,266 11/17/59 (300 bp) — Monthly 2,205
CMBX NA BBB-.10 Index (326,142) 1,405,000 243,487 11/17/59 (300 bp) — Monthly (83,475)
CMBX NA BBB-.10 Index (234,757) 984,000 170,527 11/17/59 (300 bp) — Monthly (64,804)
CMBX NA BBB-.10 Index (143,198) 656,000 113,685 11/17/59 (300 bp) — Monthly (29,896)
CMBX NA BBB-.10 Index (136,239) 626,000 108,486 11/17/59 (300 bp) — Monthly (28,118)
CMBX NA BBB-.10 Index (62,719) 492,000 85,264 11/17/59 (300 bp) — Monthly 22,258
CMBX NA BBB-.10 Index (115,406) 469,000 81,278 11/17/59 (300 bp) — Monthly (34,401)
CMBX NA BBB-.10 Index (97,719) 328,000 56,842 11/17/59 (300 bp) — Monthly (41,068)
CMBX NA BBB-.10 Index (12,748) 100,000 17,330 11/17/59 (300 bp) — Monthly 4,524
CMBX NA BBB-.10 Index (2,569) 21,000 3,639 11/17/59 (300 bp) — Monthly 1,058
CMBX NA BBB-.11 Index (159,306) 497,000 75,445 11/18/54 (300 bp) — Monthly (84,151)
CMBX NA BBB-.11 Index (48,685) 149,000 22,618 11/18/54 (300 bp) — Monthly (26,154)
CMBX NA BBB-.11 Index (21,489) 146,000 22,163 11/18/54 (300 bp) — Monthly 589
CMBX NA BBB-.12 Index (540,439) 1,618,000 292,534 8/17/61 (300 bp) — Monthly (248,849)
CMBX NA BBB-.12 Index (529,327) 1,502,000 271,562 8/17/61 (300 bp) — Monthly (258,642)
CMBX NA BBB-.12 Index (256,604) 1,460,000 263,968 8/17/61 (300 bp) — Monthly 6,512
CMBX NA BBB-.12 Index (206,461) 915,000 165,432 8/17/61 (300 bp) — Monthly (41,563)
CMBX NA BBB-.12 Index (53,286) 888,000 160,550 8/17/61 (300 bp) — Monthly 106,747
CMBX NA BBB-.12 Index (113,989) 671,000 121,317 8/17/61 (300 bp) — Monthly 6,937
CMBX NA BBB-.12 Index (74,871) 213,000 38,510 8/17/61 (300 bp) — Monthly (36,485)
CMBX NA BBB-.8 Index (338,892) 2,144,000 340,896 10/17/57 (300 bp) — Monthly 753
CMBX NA BBB-.8 Index (199,245) 1,436,000 228,324 10/17/57 (300 bp) — Monthly 28,241
CMBX NA BBB-.8 Index (117,188) 750,000 119,250 10/17/57 (300 bp) — Monthly 1,625
CMBX NA BBB-.8 Index (99,623) 718,000 114,162 10/17/57 (300 bp) — Monthly 14,121
CMBX NA BBB-.8 Index (108,544) 684,000 108,756 10/17/57 (300 bp) — Monthly (187)
CMBX NA BBB-.8 Index (52,318) 393,000 62,487 10/17/57 (300 bp) — Monthly 9,940
CMBX NA BBB-.9 Index (251,259) 1,062,000 200,293 9/17/58 (300 bp) — Monthly (51,586)
Credit Suisse International
CMBX NA BB.10 Index (46,565) 349,000 111,261 11/17/59 (500 bp) — Monthly 64,357
CMBX NA BB.10 Index (41,383) 348,000 110,942 11/17/59 (500 bp) — Monthly 69,221
CMBX NA BB.10 Index (22,747) 183,000 58,340 11/17/59 (500 bp) — Monthly 35,416
Goldman Sachs International
CMBX NA BB.8 Index (47,893) 125,621 45,349 10/17/57 (500 bp) — Monthly (2,666)
CMBX NA BB.9 Index (301,266) 1,891,000 588,479 9/17/58 (500 bp) — Monthly 285,375
CMBX NA BB.9 Index (208,068) 1,317,000 409,850 9/17/58 (500 bp) — Monthly 200,502
CMBX NA BB.9 Index (43,422) 271,000 84,335 9/17/58 (500 bp) — Monthly 40,650
CMBX NA BB.9 Index (22,287) 140,000 43,568 9/17/58 (500 bp) — Monthly 21,145
CMBX NA BBB-.12 Index (342,536) 1,918,000 346,774 8/17/61 (300 bp) — Monthly 3,119
CMBX NA BBB-.12 Index (26,169) 146,000 26,397 8/17/61 (300 bp) — Monthly 143
JPMorgan Securities LLC
CMBX NA BB.11 Index (111,197) 147,680 56,502 5/11/63 (500 bp) — Monthly (54,838)
Merrill Lynch International
CMBX NA BB.10 Index (19,118) 336,000 107,117 11/17/59 (500 bp) — Monthly 87,672
Morgan Stanley & Co. International PLC
CMBX NA BB.10 Index (196,526) 647,000 206,264 11/17/59 (500 bp) — Monthly 9,108
CMBX NA BB.10 Index (16,780) 160,000 51,008 11/17/59 (500 bp) — Monthly 34,072
CMBX NA BB.8 Index (397,971) 1,109,328 400,467 10/17/57 (500 bp) — Monthly 1,417
CMBX NA BB.8 Index (234,901) 643,565 232,327 10/17/57 (500 bp) — Monthly (3,200)
CMBX NA BB.8 Index (111,807) 306,321 110,582 10/17/57 (500 bp) — Monthly (1,523)
CMBX NA BB.8 Index (12,320) 32,855 11,861 10/17/57 (500 bp) — Monthly (492)
CMBX NA BB.9 Index (3,804) 28,000 8,714 9/17/58 (500 bp) — Monthly 4,883
CMBX NA BBB-.10 Index (196,183) 1,590,000 275,547 11/17/59 (300 bp) — Monthly 78,437
CMBX NA BBB-.10 Index (151,882) 623,000 107,966 11/17/59 (300 bp) — Monthly (44,280)
CMBX NA BBB-.10 Index (49,002) 226,000 39,166 11/17/59 (300 bp) — Monthly (9,968)
CMBX NA BBB-.10 Index (43,032) 199,000 34,487 11/17/59 (300 bp) — Monthly (8,662)
CMBX NA BBB-.10 Index (23,716) 187,000 32,407 11/17/59 (300 bp) — Monthly 8,582
CMBX NA BBB-.10 Index (36,186) 153,000 26,515 11/17/59 (300 bp) — Monthly (9,761)
CMBX NA BBB-.10 Index (13,217) 126,000 21,836 11/17/59 (300 bp) — Monthly 8,545
CMBX NA BBB-.11 Index (25,498) 162,000 24,592 11/18/54 (300 bp) — Monthly (1,001)
CMBX NA BBB-.12 Index (68,165) 300,000 54,240 8/17/61 (300 bp) — Monthly (14,100)
CMBX NA BBB-.12 Index (54,047) 259,000 46,827 8/17/61 (300 bp) — Monthly (7,370)
CMBX NA BBB-.12 Index (50,930) 246,000 44,477 8/17/61 (300 bp) — Monthly (6,597)
CMBX NA BBB-.12 Index (72,026) 233,000 42,126 8/17/61 (300 bp) — Monthly (30,036)
CMBX NA BBB-.8 Index (84,840) 606,000 96,354 10/17/57 (300 bp) — Monthly 11,161
CMBX NA BBB-.8 Index (93,274) 602,000 95,718 10/17/57 (300 bp) — Monthly 2,093
CMBX NA BBB-.8 Index (74,279) 584,000 92,856 10/17/57 (300 bp) — Monthly 18,238
CMBX NA BBB-.8 Index (2,053) 15,000 2,385 10/17/57 (300 bp) — Monthly 323
Upfront premium received — Unrealized appreciation 1,842,983
Upfront premium (paid) (8,369,314) Unrealized (depreciation) (1,230,807)
Total $(8,369,314) Total $612,176
* Payments related to the referenced debt are made upon a credit default event.
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.










Key to holding's abbreviations
bp Basis Points
FRB Floating Rate Bonds: The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period.
FRN Floating Rate Notes: The rate shown is the current interest rate or yield at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period.
ICE Intercontinental Exchange
IFB Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor.
IO Interest Only
LIBOR London Interbank Offered Rate
OTC Over-the-counter
PO Principal Only
REMIC Real Estate Mortgage Investment Conduits
SOFR Secured Overnight Financing Rate
TBA To Be Announced Commitments
Notes to the fund's portfolio
Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from October 1, 2022 through December 31, 2022 (the reporting period). Within the following notes to the portfolio, references to "Putnam Management" represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC, references to "ASC 820" represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures and references to "OTC", if any, represent over-the-counter.
(a) Percentages indicated are based on net assets of $468,224,473.
(AFF) Affiliated company. For investments in Putnam Government Money Market Fund and Putnam Short Term Investment Fund, the rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with any company which is under common ownership or control were as follows:
Name of affiliate Fair value
as of
9/30/22		 Purchase
cost		 Sale
proceeds		 Investment
income		 Shares outstanding
and fair
value as of
12/31/22
Short-term investments
Putnam Government Money Market Fund* $10,000 $— $— $83 $10,000
Putnam Short Term Investment Fund** 8,479,918 110,274,983 76,023,438 202,495 42,731,463
Total Short-term investments $8,489,918 $110,274,983 $76,023,438 $202,578 $42,741,463
* Management fees incurred through investment in Putnam Government Money Market Fund have been waived by the fund. There were no realized or unrealized gains or losses during the period.
** Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management. There were no realized or unrealized gains or losses during the period.
(SEG) This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period. Collateral at period end totaled $1,623,350.
(SEGSF) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period. Collateral at period end totaled $2,863,389.
(SEGTBA) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain TBA commitments at the close of the reporting period. Collateral at period end totaled $2,454,626.
(SEGCCS) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period. Collateral at period end totaled $8,541,665.
(i) This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts.
(P) This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
(WAC) The rate shown represents the weighted average coupon associated with the underlying mortgage pools. Rates may be subject to a cap or floor.
Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity.
144A after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The dates shown on debt obligations are the original maturity dates.
Security valuation: Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund’s assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee.
Investments, including mortgage backed securities and short-term investments with remaining maturities of 60 days or less, are valued on the basis of valuations provided by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such service providers use information with respect to transactions in bonds, quotations from bond dealers, market transactions in comparable securities and various relationships between securities in determining value. These securities will generally be categorized as Level 2.
Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.
Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Stripped securities: The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates.
Options contracts: The fund used options contracts to hedge duration and convexity, to isolate prepayment risk and to manage downside risks.
The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.
Exchange-traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers.
Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap options contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract.
For the fund's average contract amount on options contracts, see the appropriate table at the end of these footnotes.
Futures contracts: The fund used futures contracts to hedge treasury term structure risk and for yield curve positioning.
The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as “variation margin”.
For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes.
Interest rate swap contracts: The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to hedge term structure risk and for yield curve positioning.
An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract.
The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default.
For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes.
Credit default contracts: The fund entered into OTC and/or centrally cleared credit default contracts to hedge credit risk, to hedge market risk and to gain exposure to specific sectors.
In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. The fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount.
For the fund's average notional amount on credit default contracts, see the appropriate table at the end of these footnotes.
TBA commitments: The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date.
The fund may also enter into TBA sale commitments to hedge its portfolio positions to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as "cover" for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.
TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty.
Unsettled TBA commitments are valued at their fair value according to the procedures described under "Security valuation" above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement.
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund's custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund's portfolio.
Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty.
With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund’s future derivative activity.
At the close of the reporting period, the fund had a net liability position of $2,964,557 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $2,863,389 and may include amounts related to unsettled agreements.








ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund's investments. The three levels are defined as follows:
Level 1: Valuations based on quoted prices for identical securities in active markets.
Level 2: Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.
Level 3: Valuations based on inputs that are unobservable and significant to the fair value measurement.
The following is a summary of the inputs used to value the fund's net assets as of the close of the reporting period:
  Valuation inputs
Investments in securities: Level 1 Level 2 Level 3
Asset-backed securities $— $2,360,533 $—
Mortgage-backed securities — 389,343,596 —
U.S. government and agency mortgage obligations — 822,218,862 —
U.S. treasury obligations — 4,377,981 —
Short-term investments 17,318,000 67,788,933 —
Totals by level $17,318,000 $1,286,089,905 $—
  Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Futures contracts $(202,101) $— $—
Forward premium swap option contracts — 11,728,787 —
Interest rate swap contracts — 21,537,621 —
Credit default contracts — (1,369,041) —
Totals by level $(202,101) $31,897,367 $—
The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period:
Purchased swap option contracts (contract amount) $1,575,500,000
Written swap option contracts (contract amount) $611,900,000
Futures contracts (number of contracts) 900
OTC interest rate swap contracts (notional) $420,000,000
Centrally cleared interest rate swap contracts (notional) $2,753,100,000
OTC credit default contracts (notional) $94,500,000
For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com